DCC-GARCH的实现

Question

我在R中实现DCC-GARCH时遇到一些问题.当我在R中运行以下代码时,我总是得到相同的错误消息:

UseMethod中的错误("收敛"):没有适用于"收敛"的方法应用于类"try-error"的对象

不幸的是我不知道如何解决这个问题......

    install.packages("fGarch")
    install.packages("rugarch")
    install.packages("rmgarch")
    library(fGarch)
    library(rmgarch)
    library(rugarch)
    library(tseries)
    library(zoo)

    #Daten runterladen
    ibm <- get.hist.quote(instrument = "DB",  start = "2005-11-21",
                  quote = "AdjClose")
    sys<- get.hist.quote(instrument = "^STOXX50E",  start = "2005-11-21",
                 quote = "AdjClose")

    #Returns
    retibm<-diff(log(ibm))
    retsys<-diff(log(sys))

    # univariate normal GARCH(1,1) for each series
    garch11.spec = ugarchspec(mean.model = list(armaOrder = c(0,0)), 
                      variance.model = list(garchOrder = c(1,1), 
                                            model = "sGARCH"), 
                      distribution.model = "norm")

    # dcc specification - GARCH(1,1) for conditional correlations
    dcc.garch11.spec = dccspec(uspec = multispec( replicate(2, garch11.spec) ), 
                       dccOrder = c(1,1), 
                       distribution = "mvnorm")
    dcc.garch11.spec

    MSFT.GSPC.ret = merge(retsys,retibm)
    plot(MSFT.GSPC.ret)
    dcc.fit = dccfit(dcc.garch11.spec, data = MSFT.GSPC.ret)

我不确定这个子论坛是否是正确的,但它似乎比量化金融论坛更合适.如果是错误的,我道歉.

Answer 1

这个问题是由某种非标准的行为造成的merge.按列名合并时,我们all = FALSE默认使用.但是,当按行名称进行合并时,就像在这种情况下一样,我们似乎拥有all = TRUE并因此MSFT.GSPC.ret包含NA值.

所以,使用其中之一

MSFT.GSPC.ret <- merge(retsys, retibm, all = FALSE)

要么

dcc.fit <- dccfit(dcc.garch11.spec, data = na.omit(MSFT.GSPC.ret))

解决了这个问题.