How can i manage the garchfit problem?
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Hi all, I'm running iterations in which I generate returns with garchsim and then i estimate parameters with garchfit.This process works for about 80,000 iterations but suddenly i receive following massage:
??? Error using ==> svd Input to SVD must not contain NaN or Inf.
Error in ==> pinv at 29 [U,S,V] = svd(A,0);
Error in ==> qpsub at 461 projSD = pinv(projH)*(-Zgf);
Error in ==> nlconst at 694 [SD,lambda,exitflagqp,outputqp,howqp,ACTIND] ...
Error in ==> fmincon at 758 [X,FVAL,LAMBDA,EXITFLAG,OUTPUT,GRAD,HESSIAN]=...
Error in ==> garchfit at 904 [coefficients,logL,exitFlag,output,lambda] = ...
I wonder that garchfit has this problem in some cases and i didn't receive this error massage in past when i worked with different data. So, my question is how i can solve this problem?
Any suggestion on how to correct this problem would be greatly appreciated. Thanks a lot to all in advance.
M.Gorji
2 Comments
Shashank Prasanna
on 23 Jul 2013
Can you share what reproduction code you have? In particular the model you are generating your data with.
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