我正在尝试运行garch模型并预测方差,然后通过使用自举来计算指数的价格。因此,我得到了:
garchspec1 <- ugarchspec( mean.model = list(armaOrder = c(0,0)),variance.model = list(model = "sGARCH"),distribution.model = "norm")
garchfit1 <- ugarchfit(data = SP500returns,spec = garchspec)
garchforecast1 <- ugarchforecast(fitORspec = garchfit,n.ahead = 20)
sigmas = sigma(garchforecast1)
residuals = residuals(garchfit1)
nus = residuals/sigmas
当我尝试对残差/ sigma进行除法时,出现了此错误。
有帮助吗?
谢谢!