本人最近在做MS-GARCH模型,准备用MCMC估计方法进行参数估计,代码如下:
library(MSGARCH)
library(mcmc)
aa<-read.csv("C:/Users/****/Desktop/2015-2017年汇总数据.csv")
usd<-as.matrix(aa)
dusd<-diff(log(usd))
spec<-CreateSpec(variance.spec = list(model = c("sGARCH")),distribution.spec = list(distribution = c("std")),switch.spec = list(do.mix = FALSE, K = 2))
set.seed(123)
fit <-FitMCMC(spec = spec, data = dusd, ctr = list(nburn = 500L, nmcmc = 500L,nthin = 1L))
总是报错,报错如下:
错误: $ operator is invalid for atomic vectors
此外: Warning message:
In log((x[i, ] - lower)/(upper - x[i, ])) : 产生了NaNs
求大神指导,