First I want to say thanks for the beautiful rugarch package!
I am trying to replicate some results and I would like to know if there is
any adjustment that I can do to run the egarch model with external
regressors using less than 100 observations. I tried to run my model but
returns the message error below:
and the blog post that is referenced in the update.
Good luck, Carolina, in any case.
On 15/10/2016 14:13, Carolina Magda Roma wrote:
> Dear all,
> First I want to say thanks for the beautiful rugarch package!
> I am trying to replicate some results and I would like to know if there is
> any adjustment that I can do to run the egarch model with external
> regressors using less than 100 observations. I tried to run my model but
> returns the message error below:
> spx<-xts(sp500ret, as.Date(rownames(sp500ret)))
> xreg<-xts(rnorm(nrow(spx)), index(spx))
> xreg = lag(xreg,1)
> inputs<-na.omit(cbind(spx, xreg, join="left"))
> egarch.spec = ugarchspec(variance.model = list(model = 'eGARCH', garchOrder
> = c(1, 1)), mean.model = list(armaOrder = c(0, 0), include.mean = TRUE,
> external.regressors= inputs[1:60,2]), distribution.model = 'sged')
> egarch.fit = ugarchfit(egarch.spec, inputs[1:60,1])
> egarch.fcst = ugarchforecast(egarch.fit, n.ahead=1)
> Error in .egarchfit(spec = spec, data = data, out.sample = out.sample, :
> ugarchfit-->error: function requires at least 100 data
> points to run
> Thanks a lot for any help!
> Carol Silva
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