(no subject)

[Nadia Theron]

Hello All,

 

I am trying to fit an ARMA-GARCH models to a series of profit and loss
data using the garchFit function, but I keep getting the error message:

 

Error in solve.default(fit$hessian) :

  system is computationally singular: reciprocal condition number =
6.21621e-20

 

Is there some way arround this and how do I interpret it?

 

Any help would be much appreciated,

Nadia

 

Fit1 <- garchFit((F1) ~ arma(1,0)+ garch(1, 1), data =
F1,include.mean=F,trace=F

Fit2 <- garchFit((F1) ~ arma(0,2)+ garch(1, 1), data =
F1,include.mean=F,trace=F

 

 

For some reason if I difference the data I get an answer, although the
data is stationary to start with...

 

fit3 <- garchFit(diff(F1) ~ arma(1,0)+ garch(1, 1), data =
F1,include.mean=F,trace=F)

fit4 <- garchFit(diff(F1) ~ arma(0,2)+ garch(1, 1), data =
F1,include.mean=F,trace=F)

 

             F1

1    1093461.00

2   -1598153.00

3    -926665.00

4    -389588.00

5    1287609.00

6     446490.00

7    1874623.20

8    -600981.00

9    3030121.00

10    944483.00

11     70480.00

12   1889262.00

13   2475622.00

14    567088.00

15    228244.00

16    532480.00

17    755870.00

18    367139.00

19    377645.53

20    616321.60

21   5172433.00

22   1245409.34

23   -484286.85

24   1002435.32

25   2159400.00

26   1933816.18

27   1316389.81

28  -2088405.35

29   5645332.53

30   1461335.71

31  -3965164.28

32   1725178.15

33   -513809.43

34    941718.23

35  -1471858.74

36  -1892060.51

37  -3228717.46

38   -924457.86

39   2058422.25

40   1470418.00

41   2079468.57

42   4542167.83

43   2025927.94

44   -809843.52

45   1222165.25

46    215759.08

47    259056.17

48  -4974612.43

49    232027.45

50   -552425.97

51   2652233.00

52   2900319.00

53   -992782.24

54   -723346.38

55    896492.84

56   -171206.25

57   -176512.86

58   -707179.00

59   4576389.57

60   -881559.13

61   5439944.72

62   3378591.00

63   1354165.81

64   1481049.00

65   -623891.35

66    293302.70

67   1887769.37

68   1913328.32

69    183508.95

70   -494612.00

71   1576882.45

72    368430.21

73   -527505.23

74    273016.24

75  -1479130.19

76    912315.69

77   2226687.58

78   1856797.47

79   -379096.25

80   2558649.00

81  -1316456.03

82   4290146.00

83  -2160335.33

84  -2290187.00

85   1438260.00

86  -1923527.75

87    718087.55

88   -879864.19

89   6230041.97

90  -1309757.33

91   4652940.26

92   1751548.36

93   1480268.00

94    690328.74

95    104147.23

96   3254152.00

97   1999410.00

98    852150.27

99   1005280.75

100  1638168.52

101  5685228.35

102 -1268166.97

103  2348314.66

104  -221120.42

105 -1002464.71

106  2722707.73

107 -1895496.46

108  1480585.00

109   679426.00

110  -478247.60

111  -142656.79

112  1030666.60

113  -552600.42

114  -879965.80

115  -750395.00

116  2991376.73

117   410220.14

118   807595.41

119  1340964.04

120  -675042.14

121   624828.85

122  -682585.92

123  1206922.27

124  1479846.67

125  -116906.34

126  2136962.57

127 -1368650.85

128   894031.13

129  1174251.69

130  1527603.37

131   283804.30

132  2735591.18

133   266902.29

134   463158.39

135  1174388.49

136  -278806.30

137   711446.44

138  -258038.98

139 -1137578.27

140 -5780982.91

141  1393814.26

142 -5256645.26

143 -1004299.13

144  3970156.28

145   674102.08

146  2229822.68

147 -1364336.33

148  -638769.21

149  -367847.73

150  5041488.74

151  1717772.90

152   609760.62

153 -1134470.24

154   305159.44

155  -971439.68

156  7014599.63

157  2310754.76

158   851374.69

159   418373.19

160  -248187.59

161   -55725.64

162    64091.41

163  -498499.54

164   992299.79

165   602781.93

166   161838.85

167   456179.71

168  -549647.27

169  1935026.46

170  1016399.64

171  1201762.35

172  2211050.10

173  -280042.45

174  1890255.78

175   679551.42

176  1667083.57

177  1501669.80

178   244045.70

179   684587.15

180   139433.11

181  -989337.97

182   476324.73

183  3467369.81

184 -1485014.62

185  1267854.45

186   394209.55

187   300190.26

188 -1011005.68

189   212647.47

190  1364289.64

191  1874678.33

192  1681544.52

193  -158716.16

194   176513.56

195  2308834.41

196  4273567.78

197  3877489.92

198  2232699.06

199   171069.48

200  1865851.47

201   -70952.29

202  2906838.77

203  3668424.89

204  -622356.37

205  4795931.34

206  -246819.83

207   498885.72

208  1629856.92

209   393029.13

210  1028597.74

211  2460547.30

212   434330.34

213   -64866.61

214  2499282.13

215  1823688.15

216  6600729.92

217  3099162.72

218 -2201842.71

219 -1007541.30

220  1206889.17

221   -80721.97

222   520120.54

223  -370491.29

224   517254.47

225   662231.45

226  1833720.25

227  -447796.52

228  -853447.00

229   982230.28

230   128894.29

231  -314228.35

232  1393570.58

233   284240.84

234  -495545.97

235  1459307.37

236  3921189.55

237  4180789.32

238  1253859.24

239   279194.46

240  2747102.25

241   217848.50

242   233634.60

243  -224539.62

244  -308670.82

245 -3582390.61

246  6456600.85

247  1406860.55

248   508207.43

249   824246.92

250  5191586.14

251  6590987.97

252  4555436.79

253  1404384.44

254   384424.40

255   -60938.23

256 -1987329.71

257  -380800.96

258  -142061.91

259  1706936.33

260  1597928.97

261   636012.76

262 -1280458.06

263   876741.03

264  1874830.82

265  -309118.78

266  4473988.37

267  1450500.45

268   967265.36

269  1869439.10

270  -169594.83

271   791380.88

272   890313.63

273    13758.21

274  -124209.66

275  -750398.55

276   342004.56

277  -313034.79

278  -597365.33

279  2645499.83

280  1154700.58

281  1641864.27

282  2379635.14

283   649975.48

284  2401440.77

285 -2207116.06

286  5284304.02

287  2164136.30

288   245218.39

289  5556193.53

290  1320113.73

291  2693069.35

292  -874829.47

293   108091.54

294  1402972.41

295  1347698.07

296 -1410265.96

297  2381122.07

298  1736116.57

299  -492034.54

300  1649688.54

301  -331285.00

302  1999641.84

303  1802939.22

304  3925935.11

305  2365259.40

306  2139205.04

307  2624200.58

308  2654851.08

309   665306.09

310   172899.49

311  2640464.08

312  -844797.00

313  3937596.54

314  -341545.36

315  2706866.26

316    81360.38

317  2508279.56

318  1517046.07

319  2255092.44

320  2285612.51

321  1328347.79

322   388032.50

323  6644467.75

324  3300934.21

325  5901068.85

326  3147995.56

327  1525064.33

328  4460557.00

329  2948706.00

330  2390745.35

331 -2352122.59

332  2993273.65

333  5256865.52

334 -1066141.88

335  1608975.39

336  2524702.02

337  -236140.41

338  4235466.27

339  1556723.75

340  2046231.55

341  1294775.31

342  3056245.32

343  -505064.34

344  2686057.15

345  1218588.46

346  1310555.47

347  2286241.86

348   330962.08

349   541291.65

350 -3318288.86

351   544720.80

352  2855910.39

353  2976572.61

354  1136365.11

355   623635.00

356  -675098.93

357 -1678643.97

358  1912984.00

359  -343238.63

360  1093345.06

361   889776.55

362  2433033.27

363  3034097.42

364  5976235.00

365  2756356.00

366 -1595126.80

367  -160795.22

368  -236696.12

369  6429842.62

370  6855512.85

371  -515163.80

372   128615.48

373  -396709.61

374   615337.68

375 -1200299.12

376  1600644.61

377  -698874.52

378   -19159.82

379  5421460.75

380 -2944655.77

381   667931.32

382  -176737.80

383   427579.39

384  4709315.49

385  5377943.19

386  4929685.65

387  5848534.01

388 -1281657.70

389   656429.12

390  1566159.40

391  6889322.16

392  1271067.11

393  1125895.56

394  1114048.34

395  3931889.90

396  5605263.02

397  5887614.55

398 -1122833.67

399  1799051.51

400  4407472.04

401 -2216572.82

402 -1656310.51

403 -2062906.64

404 12257515.04

405 -1722060.94

406  -535441.11

407  -260361.57

408  -250307.89

409  1746589.28

410  7491984.63

411  1236661.04

412  1582151.14

413  2815894.88

414   883254.85

415  1122297.53

416  2045899.81

417  1343089.42

418  -196050.93

419  -194364.87

420   996471.51

421 -1062418.80

422  7596125.01

423  -978986.32

424  3514765.58

425  1877025.38

426   355666.45


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