I'm wondering if there is an option to skip a non-convergent combo of garch
input parameters within the loop upon different parameter values.
I thought something like
if(convergence(ugarchfit(GARCHspec, solver="hybrid", returns)) != "0") {
print("NA")
next
}
It did not give an error for the runs with 'good' parameters. But in case
of a 'bad' parameter combo, I got the following:
error in evaluating the argument 'object' in selecting a method for
function 'convergence': object 'B' not found
Thanks much, Alec
--
Anatoly Schmidt
Adjunct Professor, Finance and Risk Engineering, NYU Tandon School
https://www.linkedin.com/in/alec-schmidt-9a761716/
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