myspec=ugarchspec(
variance.model = list(model = "sGARCH", garchOrder = c(1, 1),external.regressors = NULL),
mean.model = list(armaOrder = order[c(1,2)], include.mean = TRUE,external.regressors = NULL),
distribution.model = "std"
)
myfit=ugarchfit(myspec,data=train.ts.dif,solver="gosolnp")
garch.forcast=ugarchforecast(myfit,data=NULL,n.ahead=7,external.forecasts = NULL)
错误信息
ugarchfilter-->error: parameters names do not match specification
Expected Parameters are: mu ma1 omega alpha1 beta1 shape
Error: Exiting
In addition: Warning message:
In .sgarchfit(spec = spec, data = data, out.sample = out.sample, :
ugarchfit-->warning: solver failer to converge.