Я пытаюсь реализовать модель DCC Garch, но когда она подходит к концу, появляется ошибка, которую я запишу. Я пытался найти решения на сайте, и, как вы видите, я добавил all = FALSE в определение даты функции dccfit, но, похоже, она не работает, и все же я был уверен, что сегодня утром это сработало
library("fGarch")
library("rugarch")
library("rmgarch")
library(PerformanceAnalytics)
library(quantmod)
library(rugarch)
library(car)
library(FinTS)
library(tseries)
#carico i dati
sole24<- get.hist.quote(instrument = "S24.MI", start = "2007-12-02",end = "2016-06-26", quote = "AdjClose", compression = "w")
enel <- get.hist.quote(instrument = "ENEL.MI", start = "2007-12-02",end = "2016-06-26", quote = "AdjClose", compression = "w")
med<-get.hist.quote(instrument = "BMED.MI", start = "2007-12-02",end = "2016-06-26", quote = "AdjClose", compression = "w")
intesa<- get.hist.quote(instrument = "ISP.MI", start = "2007-12-02",end = "2016-06-26", quote = "AdjClose", compression = "w")
pi2<- get.hist.quote(instrument = "PQ.MI", start = "2007-12-02",end = "2016-06-26", quote = "AdjClose", compression = "w")
#calcolo i logaritmi
log(sole24)
log(enel)
log(intesa)
log(pi2)
log(med)
#calcolo i log-rendimenti
sole24<-diff(log(sole24))
colnames(sole24)=c("log")
med<-diff(log(med))
colnames(med)=c("log")
pi2<-diff(log(pi2))
colnames(pi2)=c("log")
intesa<-diff(log(intesa))
colnames(intesa)=c("log")
enel<-diff(log(enel))
colnames(enel)=c("log")
#calcolo un garch(1,1) per ogni serie
garchuni = ugarchspec(mean.model = list(armaOrder = c(0,0), include.mean=FALSE),
variance.model = list(garchOrder = c(1,1),
model = "tGARCH"),
distribution.model = "norm")
# calcolo il Garch multivariato
dcc.garchuni= dccspec(uspec = multispec( replicate(5, garchuni) ),
dccOrder = c(1,1),
distribution = "mvnorm")
dcc.garchuni
#DCC
Plot.Log.Rendimento <- merge(sole24, med, pi2,intesa, enel,all = FALSE)
dcc.fit = dccfit(dcc.garchuni, data = na.omit(Plot.Log.Rendimento) )
and this is the error:
Error in UseMethod("convergence") :
no applicable method for 'convergence' applied to an object of class "NULL"