[R] arma model with garch errors

Yohan Chalabi chalabi at phys.ethz.ch
Sun May 3 16:44:59 CEST 2009

>>>> "JM" == Joseph Magagnoli <jcm331 at gmail.com>
>>>> on Wed, 29 Apr 2009 14:54:26 -0500

   JM> > garchFit(formula.mean= ~arma(2,2),formula.var=~garch(1,1),
   JM> data=data1)
   JM> Error in garchFit(formula.mean = ~arma(2, 2), formula.var =
   JM> ~garch(1, :
   JM> element 1 is empty;
   JM> the part of the args list of 'length' being evaluated was:
   JM> (formula)
   JM> what am I doing wrong?  any help would be greatly appreciated
   JM> joe

Hi joe,

If you are using a recent version of 'fGarch', you should use 

garchFit(~arma(2,2)+garch(1,1), data = data1)

More info in manual pages.


PhD student
Swiss Federal Institute of Technology


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