I'm currently finishing my master thesis in Forecasting with ARMA-GARCH
models but I'm having some trouble forecasting with moving windows using
ugarchroll.
I'm trying to run the following code:
# GARCH(1,1) - t-student
specgarch11n = ugarchspec(mean.model = list(armaOrder = c(0,0),
include.mean = TRUE, archm=TRUE, archpow=2),
variance.model = list(model = "sGARCH",
garchOrder=c(1,1)),
distribution.model = "std")
specgarch11n
fitgarch11n <- ugarchfit(specgarch11n, data = returns_eurusd)
fitgarch11n
#---Moving Window Forecast---
forecast1 <- ugarchroll(specgarch11n, n.ahead = 1, forecast.length = 1507,
refit.window = "moving", window.size = 250, refit.every = 250,
data = returns_eurusd, solver = "hybrid")
View(forecast1@forecast$density$Sigma)
After running it I get the following error:
Warning messages:
1: In .makefitmodel(garchmodel = "sGARCH", f = .sgarchLLH, T = T, m = m, :
rugarch-->warning: failed to invert hessian
2: In .makefitmodel(garchmodel = "sGARCH", f = .sgarchLLH, T = T, m = m, :
rugarch-->warning: failed to invert hessian
3: In .makefitmodel(garchmodel = "sGARCH", f = .sgarchLLH, T = T, m = m, :
rugarch-->warning: failed to invert hessian
4: In .rollfdensity(spec = spec, data = data, n.ahead = n.ahead,
forecast.length = forecast.length, :
non-converged estimation windows present...resubsmit object with
different solver parameters...
I have tried to follow Alexios suggestions on this post but nothing seems
to work:
http://r.789695.n4.nabble.com/rugarch-package-quot-Warning-Message-quot-for-GARCH-Normal-td4643515.html
Can someone please help me solving this issue?
Kind regards,
Michal
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