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I'm evaluating the impact of two variables on stock returns. For this I am using a Garch(1,1)-model in RStudio. This is the result I am getting. Why is the garch model not a valid choice? The external regressors are in the variace model, because they are not incorporated in the mean equation.

> myspec<-ugarchspec(variance.model=list(model="sGarch", garchOrder=c(1,1),external.regressors=mydata),
+                    mean.model=list(armaOrder=c(1,0),include.mean=TRUE))
Error: 
ugarchspec-->error: the garch model does not appear to be a valid choice.
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closed as off-topic by Richard Hardy, Helin, chollida, LocalVolatility, JejeBelfort Nov 2 '17 at 8:52

  • This question does not appear to be about quantitative finance within the scope defined in the help center.
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  • $\begingroup$ Apparently it is because the sgarch has to be written as sGARCH. $\endgroup$ – femma Oct 31 '17 at 13:51
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    $\begingroup$ I'm voting to close this question as off-topic because I do not see how it could be on topic. $\endgroup$ – Richard Hardy Nov 1 '17 at 20:28
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From the docs:

List containing the variance model specification: model Valid models (currently implemented) are “sGARCH”, “fGARCH”, “eGARCH”, “gjrGARCH”, “apARCH” and “iGARCH” and “csGARCH”.

Other values than the ones listed are never valid.

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