[R] Garch warning

From: Arun Kumar Saha <arun.kumar.saha_at_gmail.com>
Date: Sat 17 Jun 2006 - 00:54:21 EST


Dear all R-users,

Previously I posted the same query in R-Help. But I haven't got the solution. So I am posting the same query again. It is my strong hope that I will get my solution this time.

I wanted to fit a Garch(1,1) model to the following data set by:

>garch1 = garch(dat)

But I got a warning message while executing, which is:

>Warning message:
>NaNs produced in: sqrt(pred$e)

dat

   0.018078 -0.0017 0.019082 0.000448 0.006055 -0.02908 -0.0171 0.136383 -

0.01098 0.014523 -0.02504 -0.01261 -0.01301 -0.01937 0.031302 0.001924
0.016204 -0.01743 -0.00676 0.016391 0.037661 0.009682 -0.00311 0.034842
0.007326 0.004407 0.025833 0.013588 0.014807 0.030997 -0.02917 -0.01277 -
0.02489 0.003631 0.020853 0.001613 0.016834 0.144082 -0.01198 0.009475 -
0.00944 -0.00731 0.00854 -0.0211 -0.00037 -0.01354 -0.009 -0.00294 0.03639
0.005408 0.001024 -0.01789 -0.00682 -0.02709 0.015037 0.014098 -0.02083 -
0.00259 0.003773 -0.01239 0.002841 0.006787 -0.0069 -0.00729 0.003035
0.001797 0.000785 0.001065 0 -0.00062 -0.00022 0.000673 0.001064 0.000168 -
0.0019 0.000224 0.000224 0 -0.00022 0.000616 0 0.000448 0.000224 -0.00106
0.137144 0.00453 -0.00234 0.009654 0.017495 0.043445 0.036829 0.12604 -
0.06833 0.075942 -0.0157 0.012691 0.0006 0.011262 -0.01698 0.001169 0.035891
0.026974 -0.01448 -0.01285 0.010269 -0.00944 -0.00627 -0.02959 -0.00226 -
0.00658 -0.01566 0.002465 -0.00595 -0.00071 -0.02837 0.011752 0.000191 -
0.01585 0.003368 0.017396 -0.01288 -0.01559 -0.00301 0.009209 -0.00362 -
0.00477 -0.00588 0.011478 0.002748 0.01776 0.025986 -0.01573 -0.00452 -
0.01353 -0.01166 -0.01138 -0.00419 0.020279 -0.00736 -0.0178 0.017386 -
0.04783 -0.00973 -0.01211 -0.01552 0.020297 -0.00268 0.020165 -0.03628
0.004313 0.002682 0.009511 -0.0543 0.016064 0.020505 0.005516 0.02107
0.00809 0.021399 0.104238 -0.10466 0.025576 -0.00577 -0.01866 -0.00736 -
0.00443 0.004892 0.012944 0.015257 -0.00633 -0.01304 -0.0065 -0.00791 -
0.00226 0.033313 0.011476 -0.0111 -0.00365 0.033186 0.02298 -0.0037 0.002046
-0.01238 0.008637 -0.00032 -0.00685 -0.01352 -0.00169 0.011631 0.00227
0.003654 0.007346 0.001533 0.005212 0.009414 0.0202 0.011882 -0.00218 -
0.00316 7.54E-05 -0.02038 0.011471 -0.00396 -0.00658 0.006229 0.002735 -
0.00633 0.001307 -0.00802 -0.0007 -0.01103 0.008764 -0.00781 0.01373 -
0.00125 -0.01414 0.008101 0.001142 -0.011 0.010643 0.003889 0.006915 -
0.00304 -0.00221 0.003028 -0.00171 -0.00144 -0.00396 0.001579 -0.00854 -
0.00202 0.00621 0.01185 -0.01605 -0.0063 0.003573 0.001958 0.004974 -0.00326
0.005464 0.003653 -0.00027 0.00781 -0.00609 0.007569 -0.00209 0.001707
0.007578 0.008708 -0.00078 0.070744 -0.08202 -0.00271 0.018286 0.003212
0.00232 0.000183 0.034699 0.011807 -0.00204 0.000616 3.42E-05 0.014975 -
0.00183 0.010891 0.010186 -0.00403 0.01614 0.002654 -0.0057 0.005801
0.034555 0.00405 0.010423 -0.00521 -0.00558 -0.00762 -0.00405 0.001195
0.002731 -0.01309 -0.00283 0.004433 -0.0118 -0.01089 0.004808 -0.00773
0.006685 -0.00064 0.004273 0.038674 -0.02693 -0.02044 0.021999 0.007472
0.011074 -0.01286 0.00217 -0.00481 0.000436 0.000871 0.003755 0.003 0.00697
0.006982 -0.00576 -0.00119 -0.00242 -0.00257 -0.00242 0 -0.00808 0.001454
0.000958 0.000124 -0.01118 0.000406 -0.00976 -0.00117 -0.01069 -0.0011 -
0.00156 0.004814 -0.00563 0.004265 0.009255 -0.01358 -0.00346 0.003791 -
0.00395 -0.00068 0.005023 -0.00586 -0.00207 0.00035 0.0073 0.00158 0.006326
0.004164 0.011432 -0.0017 -0.00139 -0.00372 0.01356 0.014993 -0.00602
0.011983 -0.00898 -0.00183 0.008998 -0.00252 -0.00448 0.006338 0.002094 -
0.00744 0.000873 0.029343 -0.00155 0.005344 0.007062 0.004139 2.85E-05
0.00325 -0.00445 0.005597 0.004748 0.003125 0.002022 0.003193 0.002039 -
0.00017 0.005511 -0.00264 0.001279 8.34E-05 -0.00636 0 -2.83E-05 0.002344
0.005121 0.009747 0.001056 -0.0049 -0.00137 -0.00029 -0.00249 0.002091
0.010335 -0.00105 0.001502 -0.00051 -0.00113 0 -0.00023 -0.00098 0 0.008371
-0.01234 0.00058 0.002855 0.000115 0.007058 -0.00513 0.002124 -0.00169 -
0.00242 0.0021 -0.00164 -0.00154 -0.00889 -0.0047 -0.00306 -0.00979 -0.0031
0.001016 -0.00467 -0.00952 -0.00147 -0.00335 -0.00361 -0.02078 -0.00466
0.007358 0.012572 0.011018 -0.00369 0.004359 0.002006 -0.00955 0.002938 -
0.00314 0.001294 -0.00912 0.000123 -0.01086 9.36E-05 0.006065 -0.00311
0.004562 -0.0004 -0.00276 -0.01364 -0.0005 0.007126 0.004463 0.005373
0.000836 0.005802 0.001599 -0.01348 -0.01842 -0.0056 -0.00329 -0.00526
0.001253 -0.00813 0.004265 0.00694 0.005237 -0.00771 9.63E-05 -0.00019
0.005506 -0.00026 -0.00195 0.003003 0.001944 0.000699 0.000508 0.00073
0.000222 0.005727 0.001041 -0.00404 -0.01018 -0.00307 -0.00865 0.001065 -
0.00686 0.002142 0.000907 0.000162 0.003807 -0.00177 -0.00398 -0.00399 -
0.00117 0.002893 -0.00081 -0.00068 0.002409 -0.00639 -0.0062 -0.00617
0.005078 -0.00292 0.00226 -0.04239 0.003596 -0.00117 -0.00131 0.003765
0.000793 0.006592 -0.00123 0.001917 0.003005 0.001876 -0.0016 -0.00229 -
0.00347 0.002996 -0.00203 -0.00273 0.002313 -0.00431 0.000187 0.002663 -
0.0008 -0.00227 -0.00227 0.002352 -0.00614 -0.00791 0.003025 -0.00174
0.004621 0.004621 0.001327 -0.00105 -0.00344 0.003162 -0.00364 0.001658 -
0.00161 -0.00086 -0.00179 -0.00061 0.00453 -0.0006 -0.00529 -0.00458 -0.0019
0.001411 -0.00148 -0.00888 -0.00045 0.001676 -0.00194 0.002029 0.001394
0.001812 0.002699 -0.00207 0.005783 -0.00469 -0.00156 0.008546 -0.00837 -
0.01456 -0.02116 0.004523 -0.00673 -0.00626 -0.0145 -0.00313 -0.03585 -
0.02317 0.01289 -0.00122 -0.01519 -0.03454 0.008239 -0.00756 -0.00419
0.00629 -0.00236 -0.00498 0.004631 0.008615 0.01143 0.016818 -0.00412 -
0.00034 0.001046 -0.00774 -0.00239 -0.01782 -0.00428 0.005898 0.004978 -
0.00457 -0.00544 0.00923 -0.00402 -0.0076 0 0.003472 -0.00344 0.006295
0.006864 -0.00096 0.001192 -0.00498 0.001576 0.006863 0.004808 0.000976
0.00086 0.002033 0.002714 0.004112 0.008735 -0.00377 -0.0002 -0.01089 -
0.00402 0.003514 0.00171 -0.00351 -0.05464 0.003282 -0.00508 -0.00342 -
0.00253 0.006963 -0.00322 -0.00157 -0.00454 -0.00054 0.002806 -0.00057
0.002048 -0.00731 -0.0055 0.000986 -0.00087 -0.04326 0.04659 0.005094
0.004819 0.002076 -0.00465 -0.00352 -0.00294 -0.00307 0.00022 0.008688
0.001182 0.00087 0.00065 -0.00989 0.005141 -0.00655 -0.00632 -0.00965 -
0.00497 0.00045 0.004568 0.004253 0.016834 -0.01762 -0.00521 0.000328 -
0.00801 -0.00676 -0.00363 -0.00152 -0.00411 0.002059 -0.00764 -0.00746
0.001618 0.001951 0.004091 -0.00159 -0.00164 -0.0014 0.0044 -0.00114
0.002384 -0.00119 -0.00602 0.031675 0.006157 -0.00487 0.00327 0.006087
0.004132 0.001138 0.000126 0.013054 0.000779 -0.00075 -0.00842 -0.00612 -
0.0018 0.002125 -0.00157 0.003201 0.001785 -0.00291 -0.00028 -0.00676
0.000185 0.003607 0.001109 0.005279 0.000459 -0.0022 -0.00249 0.003486 -
0.00841 -0.00529 0.00237 0.003607 0.001737 0.004438 0.001153 -0.00184 -
0.00338 0.001567 -9.39E-05 0.002127 0.007596 -0.00028 -6.20E-05 -0.00165 -
0.00495 -0.00012 -0.00471 -0.00498 -0.00713 0.008507 0.001599 -9.40E-05
0.003224 0.002466 0.012423 -0.00262 0.001542 -0.00126 0.001264 -0.00361 -
0.00509 0.003538 -0.00419 -0.00022 0.002021 0.005543 -0.00649 0.004877 -
0.00034 0.000155 -0.00292 -0.00022 -0.00134 0.000249 -0.00193 0.000125 -
0.00225 -0.00718 -0.00949 0.01128 0.002425 -0.00035 -0.00397 -0.00662
0.003302 -0.00096 -0.00447 0.009146 0.0044
Can anyone tell me where the problem is?

Thanks and regards

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