FW: Re: racd package

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FW: Re: racd package

Trung.BA
Hi Alexios and team,

I am using racd in modelling time varying higher moments for a daily return
of SP500 since 2000.

I tried to used msoptim solver with n.sim = 10000. I am now considering
skewed t ("sstd"), NIG and SGED distribution.

I got this warning message :" In .acdmakefitmodel(acdmodel = fname, f = fun,
T = T, m = m, timer = timer,  :

  NaNs produced"

Then, when I plot the skewness and kurtosis parameter from estimated models,
they varies in the similar manner but in a large different value. For
example, kurtosis in sstd distribution is between 1 - 100, kurtosis of NIG
is even between 1-300.

Is there anything wrong with my estimation that relate to surprising
differences in kurtosis and skewness estimated value?

Thanks in advance

Trung


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Re: FW: Re: racd package

alexios
Please provide a reproducible example.

Alexios

On 13/05/2016 12:59, Trung.BA wrote:

> Hi Alexios and team,
>
> I am using racd in modelling time varying higher moments for a daily return
> of SP500 since 2000.
>
> I tried to used msoptim solver with n.sim = 10000. I am now considering
> skewed t ("sstd"), NIG and SGED distribution.
>
> I got this warning message :" In .acdmakefitmodel(acdmodel = fname, f = fun,
> T = T, m = m, timer = timer,  :
>
>   NaNs produced"
>
> Then, when I plot the skewness and kurtosis parameter from estimated models,
> they varies in the similar manner but in a large different value. For
> example, kurtosis in sstd distribution is between 1 - 100, kurtosis of NIG
> is even between 1-300.
>
> Is there anything wrong with my estimation that relate to surprising
> differences in kurtosis and skewness estimated value?
>
> Thanks in advance
>
> Trung
>
>
> [[alternative HTML version deleted]]
>
> _______________________________________________
> [hidden email] 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.
>

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