[問題] 系統計算上是獨特的: 互反條件數
[問題類型]:
程式諮詢
[軟體熟悉度]:
新手(沒寫過程式，R 是我的第一次)
[問題敘述]:
我想用對蘋果公司的日報酬配適一個 GARCH(1,1) 模型，但是在跑 GARCH(1,1)
時出現了下列的錯誤「Error in solve.default(fit$hessian) :系統計算上是
獨特的:互反條件數=2.19055e-16」，不知道是哪裡有問題？煩請指教，謝謝。
[程式範例]:
library(quantmod)
# Fetching data of APPLE from Yahoo Finance
getSymbols("AAPL", from = "2010-01-01", to ="2014-12-31")
dailyrtn <- diff(log(AAPL$AAPL.Adjusted)) # Calculate the adjusted daily log
return
dailyrtn1 <- dailyrtn[-1,] # Delete the 1st row in which is an NA
dailyrtn2 <- dailyrtn1^2
library(fGarch) # Load package
# Fit the GARCH(1,1)
m2 = garchFit(~arma(1,1) + garch(1,1), data = dailyrtn2, trace = F)
# 接著就出現了上述的錯誤訊息
[環境敘述]:
Win 7
R version 3.2.1
[關鍵字]:
GARCH
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※ 編輯: k5171 (140.115.87.213), 09/16/2015 13:43:33
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