Hi,
i am trying to fit a simple arma(p,q) model using the fArma package and the
armaFit function therein.
armaFit(aktie ~ arima(5,0,5), aktie, method = "mle", include.mean = FALSE,
fixed = NULL, description = "ARMA(p,q)")
aktie is a numeric vector of length 250 (daily returns of a stock). The
function generates some output, however it also includes
some warning message (see below). Everything ok or am I missing out on
something? Thanks in advance!
"Title:
ARIMA Modelling
Call:
armaFit(formula = aktie ~ arima(5, 0, 5), data = aktie, method = "mle",
include.mean = FALSE, fixed = NULL, description = "ARMA(p,q) Modell
Optimierung")
Model:
ARIMA(5,0,5) with method: CSS-ML
Coefficient(s):
ar1 ar2 ar3 ar4 ar5 ma1 ma2
ma3 ma4 ma5
0.23733 0.08860 0.28411 -0.11786 -0.77622 -0.26711 -0.04569
-0.20281 0.06208 0.79793
Description:
ARMA(p,q) Modell Optimierung
Warning messages:
1: In arima(x = x, order = order, method = method[1], include.mean =
include.mean, :
possible convergence problem: optim gave code=1
2: In sqrt(diag(fit$var.coef)) : NaNs have been generated"
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