依错误信息看,应该是create "timeSeries"出问题

不过做figarch,data.frame也可以

底下是我用数据dcc.rets.csv做的

数据dcc.rets.csv在

  https://bbs.pinggu.org/thread-1142058-1-1.html

#####

module("finmetrics")
class(dcc.rets)
#[1] "data.frame"

garch.mod=garch(dcc.rets$sp100~1, ~garch(1,1))
garch.mod

######figarch
fgarch.mod=fgarch(dcc.rets$sp100~1, ~figarch(1,1))
fgarch.mod

Call:
fgarch(formula.mean = dcc.rets$sp100 ~ 1, formula.var =  ~ figarch(1, 1))

Mean Equation: structure(.Data = dcc.rets$sp100 ~ 1
, class = "formula"
)

Conditional Variance Equation: structure(.Data =  ~ figarch(1, 1)
, class = "formula"
)

Coefficients:
                 
       C 0.02750
       A 0.02065
GARCH(1) 0.78829
ARCH(1) 0.04983
fraction 0.76857