Please provide a reproducible example. Alexios
On 13/05/2016 12:59, Trung.BA wrote: > Hi Alexios and team, > > I am using racd in modelling time varying higher moments for a daily return > of SP500 since 2000. > > I tried to used msoptim solver with n.sim = 10000. I am now considering > skewed t ("sstd"), NIG and SGED distribution. > > I got this warning message :" In .acdmakefitmodel(acdmodel = fname, f = fun, > T = T, m = m, timer = timer, : > > NaNs produced" > > Then, when I plot the skewness and kurtosis parameter from estimated models, > they varies in the similar manner but in a large different value. For > example, kurtosis in sstd distribution is between 1 - 100, kurtosis of NIG > is even between 1-300. > > Is there anything wrong with my estimation that relate to surprising > differences in kurtosis and skewness estimated value? > > Thanks in advance > > Trung > > > [[alternative HTML version deleted]] > > _______________________________________________ > R-SIG-Finance@r-project.org mailing list > https://stat.ethz.ch/mailman/listinfo/r-sig-finance > -- Subscriber-posting only. If you want to post, subscribe first. > -- Also note that this is not the r-help list where general R questions > should go. > _______________________________________________ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.