请问各位大神们,我用rugarch包做一个单变量的arma(1,1)e-garch(1,1)模型,程序如下:uspec<-ugarchspec(variance.model=list(model="eGARCH",garchOrder=c(1,1)),
mean.model=list(armaOrder=c(1,1),include.mean=TRUE),
distribution.model="sstd")
ugarchfit(x,spec=uspec)
运行之后出现如下两个提示:
1、Warning message:
In arima(data, order = c(modelinc[2], 0, modelinc[3]), include.mean = modelinc[1], :
possible convergence problem: optim gave code = 1
2、Convergence Problem:
Solver Message:
Warning message:
In .egarchfit(spec = spec, data = data, out.sample = out.sample, :
ugarchfit-->warning: solver failer to converge.
其中第一个提示还好,估计出了参数和模型的其他的值,但是第二个提示直接就没有估计参数。
有大神知道这是怎么回事吗?
我的数据通过了平稳性检验了,附件是我的数据,希望知道的大神帮我看看吧。谢谢啦!