Rather than answer the question, I'll talk past it.

`I'm not convinced that it's worthwhile to worry about a garch model with`

`less than 100 observations. See:`

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http://www.portfolioprobe.com/2012/09/17/variability-of-garch-estimates/ and the blog post that is referenced in the update. Good luck, Carolina, in any case. Pat On 15/10/2016 14:13, Carolina Magda Roma wrote:

Dear all, First I want to say thanks for the beautiful rugarch package! I am trying to replicate some results and I would like to know if there is any adjustment that I can do to run the egarch model with external regressors using less than 100 observations. I tried to run my model but returns the message error below: library(rugarch) library(xts) data(sp500ret) spx<-xts(sp500ret, as.Date(rownames(sp500ret))) xreg<-xts(rnorm(nrow(spx)), index(spx)) colnames(xreg)<-"xreg" xreg = lag(xreg,1) inputs<-na.omit(cbind(spx, xreg, join="left")) egarch.spec = ugarchspec(variance.model = list(model = 'eGARCH', garchOrder = c(1, 1)), mean.model = list(armaOrder = c(0, 0), include.mean = TRUE, external.regressors= inputs[1:60,2]), distribution.model = 'sged') egarch.fit = ugarchfit(egarch.spec, inputs[1:60,1]) egarch.fcst = ugarchforecast(egarch.fit, n.ahead=1) Error in .egarchfit(spec = spec, data = data, out.sample = out.sample, : ugarchfit-->error: function requires at least 100 data points to run Thanks a lot for any help! Carol Silva [[alternative HTML version deleted]] _______________________________________________ R-SIG-Finance@r-project.org 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.

-- Patrick Burns patr...@burns-stat.com http://www.burns-stat.com http://www.portfolioprobe.com/blog twitter: @burnsstat @portfolioprobe _______________________________________________ R-SIG-Finance@r-project.org 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.