Did the obvious and it worked. Remove and reinstall the package (rugarch only). Although, no clue why it was not converging before .
2017-11-21 17:34 GMT-02:00 Rafael Bressan <[email protected]>: > I'm having a problem of convergence with rugarch, trying to fit an > eGARCH(2,1). > I've tried other models, not having out.sample option on, different time > frames, and other time series too. Everything fails to converge ON UBUNTU > 17.04. > > I stress ubuntu 17.04 because the same code, with the same time series, > works perfectly in the same machine with windows 10 and another one running > Ubuntu 16.04LTS 32-bit. > > R version is 3.4.2 (.1 for windows) > rugarch version 1.3-8 > Everything running on RStudio Version 1.1.383 > > I'd like it running in my laptop with 17.04, since it's my "to go" > equipment, and I really prefer to use R in linux rather than in windows. > > Could someone, please, help me to discover and fix this problem? > > Below is the simple R code and the 3 sessionInfo(). My csv is taken from > Yahoo! Finance and can be any index, it's not working with BVSP, GSPC, > IPSA, etc. > > library(rugarch) > library(PerformanceAnalytics) > library(xts) > > tb <- read.csv("./Documentos/UDESC/mefca/artigo-IPSA.csv", > stringsAsFactors = FALSE) > prices <- as.xts(read.zoo(tb, format = "%Y-%m-%d", FUN = as.Date)) > losses <- -100*na.omit(Return.calculate(prices$Adj.Close, method = "log")) > > ruspec <- ugarchspec(mean.model = list(armaOrder = c(1,0)), > variance.model = list(model = "eGARCH", garchOrder = > c(2,1)), > distribution.model = "sstd") > > fit <- ugarchfit(ruspec, losses, solver = "hybrid") > > Warning message: > In .egarchfit(spec = spec, data = data, out.sample = out.sample, : > ugarchfit-->warning: solver failer to converge. > > R version 3.4.2 (2017-09-28) > Platform: x86_64-pc-linux-gnu (64-bit) > Running under: Ubuntu 17.04 > > Matrix products: default > BLAS: /usr/lib/libblas/libblas.so.3.7.0 > LAPACK: /usr/lib/lapack/liblapack.so.3.7.0 > > locale: > [1] LC_CTYPE=pt_BR.UTF-8 LC_NUMERIC=C > LC_TIME=pt_BR.UTF-8 LC_COLLATE=pt_BR.UTF-8 > [5] LC_MONETARY=pt_BR.UTF-8 LC_MESSAGES=pt_BR.UTF-8 > LC_PAPER=pt_BR.UTF-8 LC_NAME=C > [9] LC_ADDRESS=C LC_TELEPHONE=C > LC_MEASUREMENT=pt_BR.UTF-8 LC_IDENTIFICATION=C > > attached base packages: > [1] parallel stats graphics grDevices utils datasets methods > base > > other attached packages: > [1] PerformanceAnalytics_1.4.3541 xts_0.10-0 > zoo_1.8-0 > [4] rugarch_1.3-8 > > loaded via a namespace (and not attached): > [1] Rcpp_0.12.13 magrittr_1.5 > knitr_1.17 > [4] misc3d_0.8-4 xtable_1.8-2 > lattice_0.20-35 > [7] R6_2.2.2 FNN_1.1 > Rsolnp_1.16 > [10] GeneralizedHyperbolic_0.8-1 SkewHyperbolic_0.3-2 > tools_3.4.2 > [13] spd_2.0-1 grid_3.4.2 > KernSmooth_2.23-15 > [16] htmltools_0.3.6 yaml_2.1.14 > digest_0.6.12 > [19] rgl_0.98.1 numDeriv_2016.8-1 > Matrix_1.2-11 > [22] shiny_1.0.5 nloptr_1.0.4 > DistributionUtils_0.5-1 > [25] ks_1.10.7 htmlwidgets_0.9 > codetools_0.2-15 > [28] mime_0.5 compiler_3.4.2 > multicool_0.1-10 > [31] expm_0.999-2 jsonlite_1.5 > truncnorm_1.0-7 > [34] mvtnorm_1.0-6 httpuv_1.3.5 > > R version 3.4.1 (2017-06-30) > Platform: x86_64-w64-mingw32/x64 (64-bit) > Running under: Windows >= 8 x64 (build 9200) > > Matrix products: default > > locale: > [1] LC_COLLATE=Portuguese_Brazil.1252 LC_CTYPE=Portuguese_Brazil.1252 > [3] LC_MONETARY=Portuguese_Brazil.1252 LC_NUMERIC=C > [5] LC_TIME=Portuguese_Brazil.1252 > > attached base packages: > [1] parallel stats graphics grDevices utils datasets methods base > > other attached packages: > [1] PerformanceAnalytics_1.4.3541 xts_0.10-0 zoo_1.8-0 > [4] rugarch_1.3-8 > > loaded via a namespace (and not attached): > [1] Rcpp_0.12.13 magrittr_1.5 knitr_1.17 > [4] misc3d_0.8-4 xtable_1.8-2 lattice_0.20-35 > [7] R6_2.2.2 FNN_1.1 Rsolnp_1.16 > [10] GeneralizedHyperbolic_0.8-1 SkewHyperbolic_0.3-2 tools_3.4.1 > [13] spd_2.0-1 grid_3.4.1 > KernSmooth_2.23-15 > [16] htmltools_0.3.6 yaml_2.1.14 digest_0.6.12 > [19] rgl_0.98.1 numDeriv_2016.8-1 Matrix_1.2-10 > [22] shiny_1.0.5 nloptr_1.0.4 > DistributionUtils_0.5-1 > [25] ks_1.10.7 htmlwidgets_0.8 codetools_0.2-15 > [28] mime_0.5 compiler_3.4.1 multicool_0.1-10 > [31] expm_0.999-2 jsonlite_1.5 truncnorm_1.0-7 > [34] mvtnorm_1.0-6 httpuv_1.3.5 > > > R version 3.4.2 (2017-09-28) > Platform: i686-pc-linux-gnu (32-bit) > Running under: Ubuntu 16.04.3 LTS > > Matrix products: default > BLAS: /usr/lib/libblas/libblas.so.3.6.0 > LAPACK: /usr/lib/lapack/liblapack.so.3.6.0 > > locale: > [1] LC_CTYPE=pt_BR.UTF-8 LC_NUMERIC=C > LC_TIME=pt_BR.UTF-8 > [4] LC_COLLATE=pt_BR.UTF-8 LC_MONETARY=pt_BR.UTF-8 > LC_MESSAGES=pt_BR.UTF-8 > [7] LC_PAPER=pt_BR.UTF-8 LC_NAME=C > LC_ADDRESS=C > [10] LC_TELEPHONE=C LC_MEASUREMENT=pt_BR.UTF-8 > LC_IDENTIFICATION=C > > attached base packages: > [1] parallel stats graphics grDevices utils datasets methods > base > > other attached packages: > [1] PerformanceAnalytics_1.4.3541 xts_0.10-0 > zoo_1.8-0 > [4] rugarch_1.3-8 > > loaded via a namespace (and not attached): > [1] ggplot2_2.2.1 lattice_0.20-35 > compiler_3.4.2 > [4] htmlwidgets_0.9 xtable_1.8-2 > Rcpp_0.12.13 > [7] shiny_1.0.3 plyr_1.8.4 > tools_3.4.2 > [10] DistributionUtils_0.5-1 SkewHyperbolic_0.3-2 > truncnorm_1.0-7 > [13] R6_2.2.2 knitr_1.17 > scales_0.5.0 > [16] spd_2.0-1 multicool_0.1-10 > rgl_0.98.1 > [19] digest_0.6.12 gtable_0.2.0 > mime_0.5 > [22] numDeriv_2016.8-1 KernSmooth_2.23-15 > Matrix_1.2-11 > [25] ks_1.10.7 htmltools_0.3.6 > misc3d_0.8-4 > [28] munsell_0.4.3 grid_3.4.2 > colorspace_1.3-2 > [31] FNN_1.1 httpuv_1.3.5 > rlang_0.1.2 > [34] Rsolnp_1.16 nloptr_1.0.4 > magrittr_1.5 > [37] GeneralizedHyperbolic_0.8-1 lazyeval_0.2.0 > yaml_2.1.14 > [40] mvtnorm_1.0-6 codetools_0.2-15 > jsonlite_1.5 > [43] tibble_1.3.4 expm_0.999-2 > > > > 2017-11-21 16:27 GMT-02:00 Rafael Bressan <[email protected]>: > >> library(rugarch) >> library(PerformanceAnalytics) >> library(xts) >> >> tb <- read.csv("./Documentos/UDESC/mefca/artigo-IPSA.csv", >> stringsAsFactors = FALSE) >> prices <- as.xts(read.zoo(tb, format = "%Y-%m-%d", FUN = as.Date)) >> losses <- -100*na.omit(Return.calculate(prices$Adj.Close, method = >> "log")) >> >> ruspec <- ugarchspec(mean.model = list(armaOrder = c(1,0)), >> variance.model = list(model = "eGARCH", garchOrder = >> c(2,1)), >> distribution.model = "sstd") >> >> fit <- ugarchfit(ruspec, losses, solver = "hybrid") >> >> > [[alternative HTML version deleted]] _______________________________________________ [email protected] mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. 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