[R] Egarch (1,1) with Student t distribution using rugarch

Patrick Burns pburns at pburns.seanet.com
Mon Oct 22 21:46:54 CEST 2012


You need to give us some more hints of what
you get and what you don't get.

My guess is that what has happened is that the
optimization algorithm didn't converge.

The R-sig-finance mailing list would be a more
appropriate place for this discussion (you have
to subscribe before you can post there).


On 22/10/2012 09:56, Dheeraj Pandey wrote:
> Hi
> I was trying to implement Egarch (1,1) with Student t distribution using rugarch. But I was not getting any value.
> Following were the commands that I was using:
> library(rugarch)
> spec=ugarchspec(variance.model=list(model="eGARCH", garchOrder=c(1,1)), mean.model=list(armaOrder=c(1,1), arfima=FALSE), distribution.model="std")
> fit=ugarchfit(data=b,spec=spec)
> sigma(fit)
> May I know the error that I'm making in implementing the model?
> Any help with the syntax/commands or any useful content will be appreciated?
> Dheeraj
> 	[[alternative HTML version deleted]]
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Patrick Burns
pburns at pburns.seanet.com
twitter: @portfolioprobe
(home of 'Some hints for the R beginner'
and 'The R Inferno')

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