[R] Problems with predict in fGarch

[Prof. John C Nash]

It's likely that the loss function has a log() or 1/x and the finite difference
approximations to gradients have added / subtracted a small number and caused a
singularity. Unfortunately, you'll need to dig into the fGarch code or write your own
(ouch!). Or perhaps the fGarch package maintainer will be willing to look at the package
if you provide him/her your problem.

This sort of thing  is common enough that some of us have been looking into better tools
for generating gradients. However, don't hold your breath. It's not easy work.

JN


On 03/24/2011 07:00 AM, r-help-request at r-project.org wrote:
> Message: 85
> Date: Thu, 24 Mar 2011 17:03:41 +0800
> From: Luis Felipe Parra <felipe.parra at quantil.com.co>
> To: r-help <r-help at r-project.org>
> Subject: [R] Problems with predict in fGarch
> Message-ID:
> 	<AANLkTi=62Zki1tt71ArjeMRV07--Mg_6Ejh+70iUrFfN at mail.gmail.com>
> Content-Type: text/plain
> 
> 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     omega    alpha1     beta1
> -0.94934   1.00000  -0.23211  54.06402   0.45709   0.61738
> Std. Errors:
>  based on Hessian
> Error Analysis:
>         Estimate  Std. Error  t value Pr(>|t|)
> mu     -0.949336   11.600072   -0.082  0.93477
> ar1     1.000000    0.005947  168.139  < 2e-16 ***
> ma1    -0.232111    0.068638   -3.382  0.00072 ***
> omega  54.064022   16.578735    3.261  0.00111 **
> alpha1  0.457087    0.093125    4.908 9.19e-07 ***
> beta1   0.617378    0.044561   13.855  < 2e-16 ***
> ---
> Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
> 
> 
> when I use predict I am getting the following error:
> 
> Error en optim(init[mask], armafn, method = optim.method, hessian = TRUE,  :
>   non-finite finite-difference value [1]
> 
> 
> does anybody know what might be going on?
> 
> Thank you
> 
> Felipe Parra
> 
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> 
>