Just use distribution.model = “manig”… the example should probably be updated
to reflect this.
Alexios
> On Sep 6, 2024, at 6:10 PM, Leonardo Bargigli <leonardo.bargi...@unifi.it>
> wrote:
>
> 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]]
>
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