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代码如下,谢谢!
- variance.model = list(model = "fGARCH",garchOrder = c(1,1), submodel = "GARCH",
- external.regressors = NULL, variance.targeting = F);
- mean.model = list(armaOrder = c(0,0), include.mean = T, arfima = F,
- external.regressors = x);
- spec <- ugarchspec(variance.model = variance.model, mean.model = mean.model,
- distribution.model = "norm");
- fit <- ugarchfit(spec,data = y)