Hello I am trying to use predict from an arma-Garch model (arma(2, 2) +
garch(1, 1)) and I am getting the following error:
Error en arima(x = object@data, order = c(max(u, 1), 0, max(v, 1)), init =
c(ar, :
non-stationary AR part from CSS
Does anybody know what can be the reason of this error?
AM, r-help-requ...@r-project.org wrote:
> Message: 85
> Date: Thu, 24 Mar 2011 17:03:41 +0800
> From: Luis Felipe Parra
> To: r-help
> Subject: [R] Problems with predict in fGarch
> Message-ID:
>
> Content-Type: text/plain
>
> Hello. I am using fGarch to estim
Hello. I am using fGarch to estimate the following model:
Call:
garchFit(formula = fmla, data = X[, i], trace = F)
Mean and Variance Equation:
data ~ arma(1, 1) + garch(1, 1)
Conditional Distribution:
norm
Coefficient(s):
mu ar1 ma1 omegaalpha1 beta1
-0.94934
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