Hi.
I tried to run this R-code but still completely no idea why it still gives
error message: Error in forecast[[d + 1]] =
paste(index(lEJReturnsOffset[windowLength]), : object of type 'closure' is not
subsettable
Here is the R-code:
library(rugarch); library(sos);
library(forecast);library(lattice)library(quantmod); require(stochvol);
require(fBasics);data = read.table("EURJPY.m1440.csv",
header=F)names(data)data=ts(data)lEJ=log(data)lret.EJ = 100*diff(lEJ)lret.EJ =
ts(lret.EJ)lret.EJ[as.character(head(index(lret.EJ)))]=0windowLength=500foreLength=length(lret.EJ)-windowLengthforecasts<-vector(mode="character",
length=foreLength)for (d in 0:foreLength) {
lEJReturnsOffset=lret.EJ[(1+d):(windowLength+d)] final.aic<-Inf
final.order<-c(0,0,0) for (p in 0:5) for (q in 0:5) { if(p == 0 && q == 0)
{ next } arimaFit=tryCatch(arima(lEJReturnsOffset,
order=c(p,0,q)), error=function(err)FALSE,
warning=function(err)FALSE) if(!is.logical(arimaFit)) {
current.aic<-AIC(arimaFit) if(current.aic<final.aic) {
final.aic<-current.aic final.order<-c(p,0,q)
final.arima<-arima(lEJReturnsOffset, order=final.order) } } else {
next } }
spec <- ugarchspec(variance.model = list(model = "sGARCH", garchOrder =
c(1,1)), mean.model = list(armaOrder = c(final.order[1],
final.order[3]), arfima = FALSE, include.mean = TRUE),
distribution.model = "sged")fit <- tryCatch(ugarchfit(spec, lEJReturnsOffset,
solver='gosolnp'), error=function(e) e, warning=function(w) w)if(is(fit,
"warning")) { forecast[d+1]=paste(index(lEJReturnsOffset[windowLength]), 1,
sep=",") print(paste(index(lEJReturnsOffset[windowLength]), 1, sep=","))} else
{ fore = ugarchforecast(fit, n.ahead=1) ind = fore@forecast$seriesFor
forecasts[d+1] = paste(colnames(ind), ifelse(ind[1] < 0, -1, 1), sep=",")
print(paste(colnames(ind), ifelse(ind[1] < 0, -1, 1), sep=","))
}}write.csv(forecasts, file="forecasts.csv", row.names=FALSE)
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