You can ignore the warning. You can calculate the values yourself and

check that the results are the same:

df = as.data.frame(bi.backtest.nig)

q = quantile(bi.backtest.nig,0.01)

q10 =

qdist("nig",0.01,mu=0,sigma=df[10,"Sigma"],skew=df[10,"Skew"],shape=df[10,"Shape"])

as.numeric(q[10])==q10

> TRUE

q5 =

qdist("nig",0.01,mu=0,sigma=df[5,"Sigma"],skew=df[5,"Skew"],shape=df[5,"Shape"])

as.numeric(q[5])==q5

> TRUE

The warning will be fixed in the development version (...soon).

Alexios

On 16/08/2015 17:55, Mingersming wrote:

> Hi all,

>

> there is one issue I can´t go one myself. I try to fit a nig-distribution in

> a rolling window method to a time-series with the fantastic rugarch package.

> I use the option 'calculate.VaR' for several other distributions and it

> works fine, but if I switch to the nig-distribution, I recieve the following

> warning:

>

> In ans[i] = mu[i] + sigma[i] * .qsnigC(p, rho = skew[i], ... :number of

> items to replace is not a multiple of replacement length

>

> I tried to turn off the option and calculate the quantile on my own. I think

> there is an misstake with the number of the parameters, but what can I

> change to get over?

>

> For code, see below

>

> Best regards

>

> library(quantmod)

> library(rugarch)

> library(PerformanceAnalytics)

>

> bi <- getSymbols('^GDAXI', from = "2004-01-01", to = "2015-08-01")

> bi <- Ad(get(bi[1]))

> bi_tlr <- Return.calculate(bi, method = "log")

> bi_tlr <- na.omit(bi_tlr)

>

> ctrl = list(rho = 1, delta = 1e-11, outer.iter = 1000, tol = 1e-12)

> cl = makePSOCKcluster(10)

>

> T = nrow(bi_tlr)

> t_bt <- nrow(as.xts(bi_tlr)["2006-01-01/2015-08-01"])

> t_est <- T - t_bt

>

> spec_nig = ugarchspec(variance.model = list(model = "sGARCH", garchOrder =

> c(1,1)),

> mean.model = list(armaOrder = c(0,0), include.mean = FALSE),

> distribution.model = "nig")

>

> bi.backtest.nig = ugarchroll(spec_nig, data = bi_tlr, n.ahead = 1,

> forecast.length = 10, refit.every = 1, refit.window = "moving", solver =

> "hybrid", fit.control = list(), solver.control = ctrl, calculate.VaR = TRUE,

> VaR.alpha = c(0.01,0.05), cluster = cl,keep.coef = TRUE)

>

>

>

>

>

> --

> View this message in context:

http://r.789695.n4.nabble.com/VaR-calculation-warning-with-rugarch-tp4711164.html> Sent from the Rmetrics mailing list archive at Nabble.com.

>

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