How can i manage the garchfit problem?

3 次查看（过去 30 天）
Gorji
Gorji 2013-7-23
Hi all, I'm running iterations in which I generate returns with garchsim and then i estimate parameters with garchfit.This process works for about 80,000 iterations but suddenly i receive following massage:
??? Error using ==> svd Input to SVD must not contain NaN or Inf.
Error in ==> pinv at 29 [U,S,V] = svd(A,0);
Error in ==> qpsub at 461 projSD = pinv(projH)*(-Zgf);
Error in ==> nlconst at 694 [SD,lambda,exitflagqp,outputqp,howqp,ACTIND] ...
Error in ==> fmincon at 758 [X,FVAL,LAMBDA,EXITFLAG,OUTPUT,GRAD,HESSIAN]=...
Error in ==> garchfit at 904 [coefficients,logL,exitFlag,output,lambda] = ...
I wonder that garchfit has this problem in some cases and i didn't receive this error massage in past when i worked with different data. So, my question is how i can solve this problem?
Any suggestion on how to correct this problem would be greatly appreciated. Thanks a lot to all in advance.
M.Gorji
  2 个评论
Shashank Prasanna
Shashank Prasanna 2013-7-23
Can you share what reproduction code you have? In particular the model you are generating your data with.
Gorji
Gorji 2013-7-23
Dear Shashank Here's part of my code:
ret=xlsread('S&P.csv','I2:I3501');
q=1;
nboot=1000;
Is=10000;
Spec=garchset('r',1,'p',1,'q',1,'VarianceModel','EGARCH','Display','off');
for i=1:2000
Ret=ret(i:Is+(i-1));
[Coeff,~,~,Innovations,Sigmas]= garchfit(Spec,Ret);
Sr= Innovations./ Sigmas;
while q<=nboot
Sr_b=Sr(unidrnd(Is,2*Is,1)); %Sr:Standardized Residuals & Sd:Standard deviation
[~,~,Ret_b] = garchsim(Coeff,2*Is,1,Sr_b,[],[]...
,Innovations,Sigmas,Ret);
%Estimating ARMA-EGARCH model parameters for simulated time series(Ret_b)
Coeff_b= garchfit(Spec,Ret_b(Is+1:end));
q=q+1;
end
q=1;
end
I face the problem when i want to estimate parameters based on Ret_b (simulated data) with garchfit in some cases. I hope you can help me. Thanks a lot in advance

请先登录，再进行评论。

请先登录，再回答此问题。

回答（0 个）

类别

在 Help Center 和 File Exchange 中查找有关 Linear Algebra 的更多信息

标签

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Translated by