Sup guys, Got an interesting issue with the rugarch package.
I noticed that when I changed the order of the external regressors, there are different values for the robust coefficient matrix. The values should be the same (according to the ordering of the variables). However, I am getting drastically different results. At that time the model was arma(2,2) + garch(1,0). Is this considered a normal behavior of the rugarch package? I assume that when you change the ordering of the external regressors the output should be exactly the same....digit by digit. I confirmed this issue by creating a generic script that can be tested by anyone. Has anybody faced this issue before or is there post that describes the issue that I am facing? Maybe I am going insane...for now I will look further into the documentation that our Alexios has provided Thanks! library(rugarch) set.seed(1) x1 <- rnorm(1000,5,1) x2 <- rnorm(1000,3,3) y <- .5*(x1*x2) + rnorm(1000,1,3) dat <- data.frame(x1,x2,y) var1 <- c("x1","x2") var2 <- c("x2","x1") # setbounds(spec)<-list(vxreg1=c(-1,1)) model_maker <- function(x_name){ temp <- dat[,c("y",x_name)] spec <- ugarchspec(variance.model = list(model = "sGARCH", garchOrder = c(1,0)), mean.model = list(armaOrder = c(2,2), external.regressors = as.matrix(temp[,x_name]), include.mean= T), distribution.model = "std") fit <- ugarchfit(spec = spec, data = as.matrix(temp$y),solver = "hybrid") return(fit@fit$robust.matcoef)} model_maker(var1) model_maker(var2) [[alternative HTML version deleted]] ______________________________________________ R-help@r-project.org mailing list -- To UNSUBSCRIBE and more, see https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.