Dear S+ers,
I hope someone can help me with an infuriating problem I have. I am trying to
model a bivariate GARCH using the Finmetrics module Version 1.0, S+ v6.1 for
Windoze Professional Trial Edition Release 1. The explanation is a bit long;
I've tried to be explicit, since it seems to be an implemenation issue.
The following works fine (either from the command line, or within a function):
"
> len <- 100
> prices<- matrix(runif(300), 100, 3)
>
> r <- matrix(0, len-1, 3)
> r <- apply(log(prices), 2, diff)/1000 # this is 99x3 matrix of log
> returns, same scale and size as real data
>
> garchOut <- mgarch(r~ar(1), ~dvec(1, 1), trace=T)
Iteration 0 Step Size = 0.00235530 Likelihood = -4.97080
...
Iteration 51 Step Size = 0.00315935 Likelihood = -4.80712
Convergence R-Square = 0.007055362
Function value convergence.
> summary(garchOut)
..."
However, when I use the same code with some real prices, the code executes
silently (from command line, or within a function), but /any/ command line call
then gives:
"Problem: internal error: trying to set internal exit action in frame 0, must
be between 1 and 5, while calling subroutine arc
"hresid
"Use traceback() to see the call stack
"
"Error during wrapup: Invalid frame number (0) in set_frame
"Engine connection failure - shutting down S-PLUS recommended"
And subsequent commands, including traceback() or even q(), give:
"Problem: internal error: trying to set internal exit action in frame 1, must
be between 1 and 0
"Use traceback() to see the call stack
"Engine connection failure - shutting down S-PLUS recommended"
The object garchOut doesn't appear in Object Explorer. Closing down S+ then
leads predictably to an Application Error. I'm having difficulty locating the
problem, as I have to restart S+ whenever I try a new avenue. S+ Univariate
garch works fine on the same prices data. Note that the real 'r' is ~0.001.
My guess is that mgarch is generating some warning since 'r' cannot be
successfully modelled, but that this is having some odd knock-on effect with a
bug. Any help would be much appreciated.
Thanks
Robert
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