Okay, I thought there was a generally mistake by myself. Because I saw the same warnings with my quantil approach. But now it´s clear, after I saw the same warnings with your code. I was confused about the running time compared to the "easier" distributions, and thought the calculation was stucked. I saw the CPU-usage running down after a few minutes. So, i suggested the tasks run into a overflow or something like that. For my clarity: the solver extract firstly the model parameters (with 100 percent CPU-usage) and calculate afterwards the quantile?
After some benchmarking I think the "nig" model takes 9x of the time it does take to fit the "norm" model. Thank you, for your quick response! Best Re -- View this message in context: http://r.789695.n4.nabble.com/VaR-calculation-warning-with-rugarch-tp4711164p4711204.html Sent from the Rmetrics mailing list archive at Nabble.com. _______________________________________________ [email protected] mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
