Hi, I'm having a problem in reproducing the following example reproduced below, which is provided in the documentation with rugarch = 1.5.2 and rmgarch = 1.3.9. Any help or suggestion would be greatly appreciated! Thank you for your assistance. Best regards, Leonardo
data(dji30ret) spec = gogarchspec(mean.model = list(demean = "constant"), variance.model = list(model = "sGARCH", garchOrder = c(1,1), submodel = NULL), distribution.model = list(distribution = "manig"),ica = "fastica") fit = gogarchfit(spec = spec, data = dji30ret[,1:4, drop = FALSE], out.sample = 50, gfun = "tanh") which returns the following error: Error in .local(variance.model, mean.model, distribution.model, start.pars, : ugarchspec-->error: cond.distribution argument must be a character Traceback: 1. gogarchfit(spec = spec, data = dji30ret[, 1:4, drop = FALSE], . out.sample = 50, gfun = "tanh") 2. gogarchfit(spec = spec, data = dji30ret[, 1:4, drop = FALSE], . out.sample = 50, gfun = "tanh") 3. ugarchspec(mean.model = list(include.mean = FALSE, armaOrder = c(0, . 0)), variance.model = list(model = umodel$vmodel, garchOrder = umodel$garchOrder, . submodel = umodel$vsubmodel, variance.targeting = umodel$variance.targeting), . distribution.model = umodel$distribution) 4. ugarchspec(mean.model = list(include.mean = FALSE, armaOrder = c(0, . 0)), variance.model = list(model = umodel$vmodel, garchOrder = umodel$garchOrder, . submodel = umodel$vsubmodel, variance.targeting = umodel$variance.targeting), . distribution.model = umodel$distribution) 5. .local(variance.model, mean.model, distribution.model, start.pars, . fixed.pars, ...) 6. stop("\nugarchspec-->error: cond.distribution argument must be a character") -- Leonardo Bargigli, PhD Associate Professor in Economics, Disei, Università degli Studi di Firenze - Personal page <https://www.unifi.it/p-doc2-2013-000000-B-3f2b3a2f362930.html> Director of the bachelor's degree program in Economics & Business <http://ec.unifi.it> Csdc - Centro studi dinamiche complesse - https://www.csdc.unifi.it ORCID: 0000-0002-7524-9148 <https://orcid.org/0000-0002-7524-9148> [[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.