Hello R community,

I am using GARCH models and I had an issue when I used tGARCH code . I got NULL result when I use ugarchfit(). it works just fine with other garch models . I only has this issue with tGARCH.

here is my code:
Return_tGARCH= ugarchspec(variance.model = list(model="tGARCH", garchOrder=c(1,1)), mean.model= list(armaOrder=c(1,1)), distribution.model = "sstd")

Return_tGARCH_fit= ugarchfit(Return_tGARCH, data= Return)


I would really appreciate any help or advice in this matter .
Thank you

For discussions related to modeling, machine learning and deep learning. Related packages include caret, modelr, yardstick, rsample, parsnip, tensorflow, keras, cloudml, and tfestimators.

This topic was automatically closed 21 days after the last reply. New replies are no longer allowed.

If you have a query related to it or one of the replies, start a new topic and refer back with a link.