Error: cannot allocate vector of size 360.0 Mb. Error comes after executing forecast row (

forc = ugarchforecast(fit2, n.ahead = 10, n.roll = 299, DailyVar = f_sigma^2)

Looks like there is problem somewhere in ftseq function, because when I try to execute row:

ForcTime = ftseq(T0 = as.POSIXct('2008-02-29 16:00:00'), length.out = 390 * 2 + 1, by = 'mins', interval = interval)

I got same Error.

Thanks.

]]>for (i in 1:n) { tmp = ugarchroll(spec[[i]], R, n.ahead = 1, forecast.length = 1500, refit.every = 50, refit.window = 'moving', windows.size = 1500, solver = 'hybrid', calculate.VaR = FALSE, cluster = cluster, keep.coef = FALSE) while(!is.null(tmp@model$noncidx)){ tmp = resume(tmp, solver = 'gosolnp', fit.control = list(scale = 1), solver.control = list(tol = 1e-07, delta = 1e-06), cluster = cluster) } fitlist[[i]] = as.data.frame(tmp, which = 'density') print(i) }]]>

vmodel = fit@model$modeldesc$vmodel zseries = as.numeric(residuals(fit, standardize=TRUE)) distribution = fit@model$modeldesc$distribution idx = fit@model$pidx pars = fit@fit$ipars[,1] skew = pars[idx["skew",1]] shape = pars[idx["shape",1]] if(distribution == "ghst") ghlambda = -shape/2 else ghlambda = pars[idx["ghlambda",1]] rugarch:::.qqDist(y = zseries, dist = distribution, lambda = ghlambda, skew = skew, shape = shape)

The main functionality can be found in the ‘rugarch:::.qqDist’ function.

]]>http://www.unstarched.net/r-downloads/ ]]>

You choose the p-value for the cutoff, the coefficients above that are dropped and the model re-estimated. You can then repeat the process by re-submitting the object to the function. ]]>

Have you tried using the “rcov” and “sigma” methods on the estimated objects? Have a look in the rmgarch.tests folder in the src distribution for examples.

Also, make sure you download latest version which contains some fixes to the dcc simulation from the bitbucket repository (see : R-downloads).

Alexios

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