r - DCC-GARCH的实现

Question

我在 R 中实现 DCC-GARCH 时遇到一些问题。当我在 R 中运行以下代码时，我总是收到相同的错误消息:

Error in UseMethod("convergence") : no applicable method for 'convergence' applied to an object of class "try-error"

不幸的是，我不知道如何解决这个问题......

    install.packages("fGarch")
    install.packages("rugarch")
    install.packages("rmgarch")
    library(fGarch)
    library(rmgarch)
    library(rugarch)
    library(tseries)
    library(zoo)

    #Daten runterladen
    ibm <- get.hist.quote(instrument = "DB",  start = "2005-11-21",
                  quote = "AdjClose")
    sys<- get.hist.quote(instrument = "^STOXX50E",  start = "2005-11-21",
                 quote = "AdjClose")

    #Returns
    retibm<-diff(log(ibm))
    retsys<-diff(log(sys))

    # univariate normal GARCH(1,1) for each series
    garch11.spec = ugarchspec(mean.model = list(armaOrder = c(0,0)), 
                      variance.model = list(garchOrder = c(1,1), 
                                            model = "sGARCH"), 
                      distribution.model = "norm")

    # dcc specification - GARCH(1,1) for conditional correlations
    dcc.garch11.spec = dccspec(uspec = multispec( replicate(2, garch11.spec) ), 
                       dccOrder = c(1,1), 
                       distribution = "mvnorm")
    dcc.garch11.spec

    MSFT.GSPC.ret = merge(retsys,retibm)
    plot(MSFT.GSPC.ret)
    dcc.fit = dccfit(dcc.garch11.spec, data = MSFT.GSPC.ret)

我不确定这个分论坛是否合适，但它似乎比量化金融论坛更合适。如果有误，我深表歉意。

Answer 1

此问题是由 merge 的某种非标准行为引起的。当按列名合并时，我们默认有 all = FALSE。但是，当按行名称合并时，如本例所示，我们似乎有 all = TRUE，因此 MSFT.GSPC.ret 包含 NA 值。

所以，使用任一个

MSFT.GSPC.ret <- merge(retsys, retibm, all = FALSE)

或

dcc.fit <- dccfit(dcc.garch11.spec, data = na.omit(MSFT.GSPC.ret))

解决问题。