[R] Problem with garchFit function in fSeries

From: Ivan Kalafatic <ivan.kalafatic_at_gmail.com>
Date: Thu 06 Jul 2006 - 21:19:29 EST


I used garchFit function to fit 1600 observations of EURO/USD 2-day returns in GARCH(1,1) model.
As part of the summary I got warning message: NaNs produced in: sqrt(diag(fit$cvar))

And didn't get any estimates for 3 params' std.error, t value or probability:

Error Analysis:

        Estimate  Std. Error  t value Pr(>|t|)
mu     -0.004827    0.020141   -0.240    0.811
ar1     0.010311    0.026978    0.382    0.702
omega   0.073813          NA       NA       NA
alpha1  0.100000          NA       NA       NA
beta1   0.800000          NA       NA       NA

When I reduced the sample size to 1000 observations output was ok. Can anyone help? What does this mean? What can be the cause of NA values?

Thank you,
Ivan

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