R “/.default”(残差,sigma)中出错:不一致数组
我试图运行一个garch模型,预测方差,然后使用自举法计算指数的价格。因此,我得到:R “/.default”(残差,sigma)中出错:不一致数组,r,bootstrap-modal,options,forecast,volatility,R,Bootstrap Modal,Options,Forecast,Volatility,我试图运行一个garch模型,预测方差,然后使用自举法计算指数的价格。因此,我得到: garchspec1 <- ugarchspec( mean.model = list(armaOrder = c(0,0)), variance.model = list(model = "sGARCH"), distribution.model = "norm") garchfit1 <- ugarchfit(d
garchspec1 <- ugarchspec( mean.model = list(armaOrder = c(0,0)),
variance.model = list(model = "sGARCH"),
distribution.model = "norm")
garchfit1 <- ugarchfit(data = SP500returns , spec = garchspec)
garchforecast1 <- ugarchforecast(fitORspec = garchfit, n.ahead = 20)
sigmas = sigma(garchforecast1)
residuals = residuals(garchfit1)
nus = residuals/sigmas
garchspec1