Garch Warning

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Garch Warning

Arun.stat
Dear all R-users,

I wanted to fit a Garch(1,1) model to a dataset by:

>garch1 = garch(na.omit(dat))

But I got a warning message while executing, which is:

>Warning message:
>NaNs produced in: sqrt(pred$e)

The garch parameters that I got are:


> garch1

Call:
garch(x = na.omit(dat))

Coefficient(s):
       a0         a1         b1
1.212e-04  1.001e+00  1.111e-14

Can any one please tell me that why got this message? What is the remedy?

Thanks and Regards

        [[alternative HTML version deleted]]

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Re: Garch Warning

Spencer Graves
          Your example is not reproducible.  Have you tried walking
through the code line by line after "debug(garch)"?  After you've tried
that, if you'd still like help from this listserve, please submit a
simple, self-contained / reproducible example, as suggested the posting
guide! "www.R-project.org/posting-guide.html".

          hope this helps.
          spencer graves

Arun Kumar Saha wrote:

> Dear all R-users,
>
> I wanted to fit a Garch(1,1) model to a dataset by:
>
>> garch1 = garch(na.omit(dat))
>
> But I got a warning message while executing, which is:
>
>> Warning message:
>> NaNs produced in: sqrt(pred$e)
>
> The garch parameters that I got are:
>
>
>> garch1
>
> Call:
> garch(x = na.omit(dat))
>
> Coefficient(s):
>        a0         a1         b1
> 1.212e-04  1.001e+00  1.111e-14
>
> Can any one please tell me that why got this message? What is the remedy?
>
> Thanks and Regards
>
> [[alternative HTML version deleted]]
>
> ______________________________________________
> [hidden email] mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html

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Re: Garch Warning

Arun.stat
Dear Spencer,

Can you be more clear on your suggestion?


On 6/15/06, Spencer Graves <[hidden email]> wrote:

>
>          Your example is not reproducible.  Have you tried walking
> through the code line by line after "debug(garch)"?  After you've tried
> that, if you'd still like help from this listserve, please submit a
> simple, self-contained / reproducible example, as suggested the posting
> guide! "www.R-project.org/posting-guide.html".
>
>          hope this helps.
>          spencer graves
>
> Arun Kumar Saha wrote:
> > Dear all R-users,
> >
> > I wanted to fit a Garch(1,1) model to a dataset by:
> >
> >> garch1 = garch(na.omit(dat))
> >
> > But I got a warning message while executing, which is:
> >
> >> Warning message:
> >> NaNs produced in: sqrt(pred$e)
> >
> > The garch parameters that I got are:
> >
> >
> >> garch1
> >
> > Call:
> > garch(x = na.omit(dat))
> >
> > Coefficient(s):
> >        a0         a1         b1
> > 1.212e-04  1.001e+00  1.111e-14
> >
> > Can any one please tell me that why got this message? What is the
> remedy?
> >
> > Thanks and Regards
> >
> >       [[alternative HTML version deleted]]
> >
> > ______________________________________________
> > [hidden email] mailing list
> > https://stat.ethz.ch/mailman/listinfo/r-help
> > PLEASE do read the posting guide!
> http://www.R-project.org/posting-guide.html
>
>

        [[alternative HTML version deleted]]

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Re: Garch Warning

Spencer Graves
<see inline>

Arun Kumar Saha wrote:
> Dear Spencer,
>  
> Can you be more clear on your suggestion?
>
>  
> On 6/15/06, *Spencer Graves* <[hidden email]
> <mailto:[hidden email]>> wrote:
>
>              Your example is not reproducible.  

          Can you find a simple example, preferably obtained either from a
simple simulation or from a minor modification of an example included in
some of the standard documentation.  This listserve sometimes refuses to
accept attachments, so I would not suggest you attach a data set unless
it was quite small.  You could, for example, try reducing the size of
your data set, e.g., using a binary search to find the smallest number
of observations that would still generate the same error message.

          Alternatively, the posting guide
(www.R-project.org/posting-guide.html) includes the following:

'When providing examples, it is best to give an R command that
constructs the data, as in the matrix() expression above. For more
complicated data structures, dump("x", file=stdout()) will print an
expression that will recreate the object x.'

Have you tried walking
>     through the code line by line after "debug(garch)"?  

          I know I've discussed this issue on this listserve before.
Therefore, I tried RSiteSearch("graves debug").  This produced 77 hits,
many of which were not relevant.  The following seemed to be:
"http://finzi.psych.upenn.edu/R/Rhelp02a/archive/68215.html".

After you've tried

>     that, if you'd still like help from this listserve, please submit a
>     simple, self-contained / reproducible example, as suggested the posting
>     guide! "www.R-project.org/posting-guide.html
>     <http://www.R-project.org/posting-guide.html>".
>
>              hope this helps.
>              spencer graves
>
>     Arun Kumar Saha wrote:
>      > Dear all R-users,
>      >
>      > I wanted to fit a Garch(1,1) model to a dataset by:
>      >
>      >> garch1 = garch( na.omit(dat))
>      >
>      > But I got a warning message while executing, which is:
>      >
>      >> Warning message:
>      >> NaNs produced in: sqrt(pred$e)
>      >
>      > The garch parameters that I got are:
>      >
>      >
>      >> garch1
>      >
>      > Call:
>      > garch(x = na.omit(dat))
>      >
>      > Coefficient(s):
>      >        a0         a1         b1
>      > 1.212e-04  1.001e+00  1.111e-14
>      >
>      > Can any one please tell me that why got this message? What is the
>     remedy?
>      >
>      > Thanks and Regards
>      >
>      >       [[alternative HTML version deleted]]
>      >
>      > ______________________________________________
>      > [hidden email] <mailto:[hidden email]>
>     mailing list
>      > https://stat.ethz.ch/mailman/listinfo/r-help
>      > PLEASE do read the posting guide!
>     http://www.R-project.org/posting-guide.html
>
>
>
>

______________________________________________
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https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html