I think the error message is quite informative: "...unused argument (external.regressors...)
The "external.regressors" goes either in the mean.model or variance.model list. You are passing it outside, so you get an error. I did mention to you when you emailed me offline that it might be useful to carefully check the ugarchspec specification and what you are passing. A quick "arguments" check usually helps: >args(ugarchspec) function ( variance.model = list(model = "sGARCH", garchOrder = c(1, 1), submodel = NULL, external.regressors = NULL, variance.targeting = FALSE), mean.model = list(armaOrder = c(1, 1), include.mean = TRUE, archm = FALSE, archpow = 1, arfima = FALSE, external.regressors = NULL, archex = FALSE), distribution.model = "norm", start.pars = list(), fixed.pars = list(), ...) Alexios On 23/05/2016 16:02, FAKIR CHARLES wrote: > Hi All, > > I am running rugarch Version: 1.3-5 and am trying to simulate the paper: > “High-low range in GARCH models of stock return volatility” SSRN: > http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2753336, for my thesis. > > I am able to run sGARCH with no problems. The paper though, calls to > “estimate a GARCH(0,1) model with an exogenous variable” This is where it > goes all pear shape. I have modelled the volatility using the TTR package: > “train.vGK <- volatility(train.ohlc, calc="garman") > train.vParkinson <- volatility(train.ohlc, calc="parkinson")” > > The result is an xts object, as expected considering my input class is xts, > and the dimensions after some adjustments: > >> str(close.djdr) > An ‘xts’ object on 1993-01-15/2009-04-24 containing: > Data: num [1:4100, 1] 0.000979 0.001161 -0.005788 -0.004309 0.003387 ... > - attr(*, "dimnames")=List of 2 > ..$ : NULL > ..$ : chr "daily.returns" > Indexed by objects of class: [Date] TZ: UTC > xts Attributes: > NULL > >> str(train.vParkinson) > An ‘xts’ object on 1993-01-15/2009-04-24 containing: > Data: num [1:4100, 1] 0.0866 0.0853 0.0875 0.088 0.0772 ... > - attr(*, "dimnames")=List of 2 > ..$ : NULL > ..$ : chr "vParkinson" > Indexed by objects of class: [Date] TZ: UTC > xts Attributes: > NULL > > When I try to run the ugarchspec, it fails miserably: >> spec1X=ugarchspec(variance.model=list(model="sGARCH"), > + external.regressors = train.vParkinson[,1], #What is the correct form > here? I have lagged it: train.xreg = lag(train.vParkinson,1) > + mean.model=list(armaOrder=c(0,0))) > Error in .local(variance.model, mean.model, distribution.model, > start.pars, : > unused argument (external.regressors = c(0.0866063373770964, > 0.0853297963049413, 0.0875414180301314, 0.0880414499227675, > 0.0771631965517572, 0.0707091044790502, 0.0778057119517414, > 0.0775765066940466, 0.077820690394834, 0.0752388231276861, > 0.072436404409338, 0.07452357235863, 0.0710133687112722, > 0.0817565181849798, 0.0900172823007909, 0.0930080887667925, > 0.0896830143657568, 0.089774572544706, 0.0904325308768051, > 0.092930283058663, 0.0964456153316399, 0.123570155397932, > 0.125244790062196, 0.138922401992731, > 0.135292796408894, 0.134903364202769, 0.136922606737311, 0.138012028037638, > 0.136775934192342, 0.136172719004911, 0.136364919382056, 0.122106445616322, > 0.121111651605594, 0.0962623729322267, 0.0981395485851856, > 0.117961280078613, 0.114364914549088, 0.112811619226829, 0.1139844134944, > 0.120975655704514, 0.117871553416396, 0.106136285136668, 0.106057886734732, > 0.113735726997588, 0.108700010793231, 0.085947506860437, > 0.0853823006923295, 0.0834373451373239, 0.0829486747947965, > > So, I lag my exon variable > train.xreg = lag(train.vParkinson,1) > train.test = as.matrix(train.xreg, ncol = 1) > > Then set a matrix, but I don’t think this is required as I am using xts > class (see: https://stat.ethz.ch/pipermail/r-sig-finance/2014q3/012708.html) > > I have tried to change the class of train.vParkinson to matrix, data.frame, > with the square brackets, without the square brackets, read several threads > on a similar problem. What am I doing wrong? > > The data is extracted with quant mod: > # 1.1.1 Set start and end date for collection in YYYYMMDD (numeric) > format > train.date.start<-19930103 #Monday > train.date.end<-20090424 #Friday - changed the original date which was > 20090427 > > > # 1.1.2 Collect historical data for DJIA Index > train.djd <- getYahooData("^DJI", start=train.date.start, > end=train.date.end, freq="daily") > chartSeries(train.djd[,1:5]) > > close.djdr = dailyReturn(djd[,4], type="log") #daily returns close on close > close.djdr = close.djdr[-(1:9)] > > Thanks in advance. > Kirro > > [[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.