r - 使用 ARMA(1,1) 预测误差与 GARCH(1,1) 进行预测

Question

我目前正在使用该软件包rugarch使用样本外数据来预测未来的波动性，并不断出现错误：

使用规范时：

ugarchforecast(ug_spec, n.ahead = 1, n.roll = 499, data = ForeRFTSE[1:758, , drop = FALSE], out.sample = 500)

错误：

ugarchforecast-->error: parameters names do not match specification
Expected Parameters are: mu ar1 ma1 omega alpha1 beta1

或使用拟合参数时：

ugarchforecast(RFTSE_GARCH, n.ahead = 1, n.roll = 499, data = ForeRFTSE[1:758, , drop = FALSE], out.sample = 500)

错误：

Error in .sgarchforecast(fitORspec = fitORspec, data = data, n.ahead = n.ahead,  : 

ugarchforecast-->error: n.roll must not be greater than out.sample!

这是我的 ug_spec 代码

ug_spec <- ugarchspec(variance.model = list(model = "sGARCH",
                                            garchOrder = c(1,1)),
                      mean.model = list(armaOrder=c(1,1),
                                        include.mean=TRUE),
                      distribution.model = "norm"  )

这是我的 RFTSE_GARCH

RFTSE_GARCH = ugarchfit(spec = ug_spec,solver = 'hybrid', data = RFTSE)

标签： rarima