Hello. I am using fGarch to estimate the following model:
Call:
garchFit(formula = fmla, data = X[, i], trace = F)
Mean and Variance Equation:
data ~ arma(1, 1) + garch(1, 1)
Conditional Distribution:
norm
Coefficient(s):
mu ar1 ma1 omega alpha1 beta1
-0.94934 1.00000 -0.23211 54.06402 0.45709 0.61738
Std. Errors:
based on Hessian
Error Analysis:
Estimate Std. Error t value Pr(>|t|)
mu -0.949336 11.600072 -0.082 0.93477
ar1 1.000000 0.005947 168.139 < 2e-16 ***
ma1 -0.232111 0.068638 -3.382 0.00072 ***
omega 54.064022 16.578735 3.261 0.00111 **
alpha1 0.457087 0.093125 4.908 9.19e-07 ***
beta1 0.617378 0.044561 13.855 < 2e-16 ***
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
when I use predict I am getting the following error:
Error en optim(init[mask], armafn, method = optim.method, hessian = TRUE, :
non-finite finite-difference value [1]
does anybody know what might be going on?
Thank you
Felipe Parra
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