Dear Alexios,
it works! Thank you very much for your assistance.
Best regards,
Leonardo
Il giorno ven 6 set 2024 alle ore 18:31 alexios galanos <alex...@4dscape.com>
ha scritto:
> 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]]
> >
> > _______________________________________________
> > R-SIG-Finance@r-project.org mailing list
> > https://stat.ethz.ch/mailman/listinfo/r-sig-finance
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> should go.
>
>
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