使用ARMA(1,1)预测误差使用GARCH(1,1)进行预测

时间:2019-04-04 16:47:58

标签: r arima

我目前正在使用软件包rugarch来使用样本数据来预测未来的波动,并继续获取错误:

使用规格时:

ugarchforecast(ug_spec, n.ahead = 1, n.roll = 499, data = ForeRFTSE[1:758, , drop = FALSE], out.sample = 500)

错误:

ugarchforecast-->error: parameters names do not match specification
Expected Parameters are: mu ar1 ma1 omega alpha1 beta1

或使用适合的参数时:

ugarchforecast(RFTSE_GARCH, n.ahead = 1, n.roll = 499, data = ForeRFTSE[1:758, , drop = FALSE], out.sample = 500)

错误:

Error in .sgarchforecast(fitORspec = fitORspec, data = data, n.ahead = n.ahead,  : 

ugarchforecast-->error: n.roll must not be greater than out.sample!

这是我的ug_spec代码

ug_spec <- ugarchspec(variance.model = list(model = "sGARCH",
                                            garchOrder = c(1,1)),
                      mean.model = list(armaOrder=c(1,1),
                                        include.mean=TRUE),
                      distribution.model = "norm"  )

这是我的RFTSE_GARCH

RFTSE_GARCH = ugarchfit(spec = ug_spec,solver = 'hybrid', data = RFTSE)

0 个答案:

没有答案