[R-SIG-Finance] Question about rugarch: ARFIMA

[alexios]

Hi John.

Thanks for reporting this.
I'll have a fix on r-forge later tonite, and a new version on CRAN by 
tomorrow.

Best,

Alexios

On 20/09/2011 19:33, John Kerpel wrote:
> I'm using the most excellent rugarch package to build some ARFIMA models.
>
> My code (mostly lifted from the examples) is the following:
>
> fit<- vector(mode = "list", length = 9)
> dist<- c("norm", "snorm", "std", "sstd", "ged", "sged", "nig", "ghyp",
> "jsu")
>
> for(i in 1:length(dist)){
>    spec<- arfimaspec(mean.model = list(armaOrder = c(1,1), include.mean =
> TRUE,
>   arfima = *TRUE*), distribution.model = dist[i])
>   fit[[i]]<- arfimafit(spec = spec, data = x,solver = "solnp", out.sample =
> 307,
>   fit.control = list(scale = 1))
> }
> forc = vector(mode = "list", length = 9)
> for(i in 1:9){
>    forc[[i]] = arfimaforecast(fit[[i]], n.ahead = 1, n.roll = 306)
> }
> #After I run the for loop for forc I get the following message:
>
> There were 50 or more warnings (use warnings() to see the first 50)
>
>> warnings()[1]$`longer object length is not a multiple of shorter object length`
> x - mu
>
>
>
> When I set the arfima=TRUE statement to arfima=FALSE in the spec
> object, I don't have this problem.
>
>
>
> Any advice?  Thx!  John
>
> 	[[alternative HTML version deleted]]
>
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