Diagnosing rugarch Rolling Forecast Errors Caused by Missing Returns

Summary

This troubleshooting note concerns an error raised by the rugarch package while running a rolling GARCH forecast with ugarchroll. The reported setup estimates an sGARCH model with an ARMA mean specification, then forecasts one step ahead over a rolling window and calculates value at risk. The user did not explicitly apply the dollar-sign operator that appears in the error message.

The answer identifies missing values in the return series as the likely cause and reports that removing them resolved the issue in that case. This is a practical data-validation lesson for volatility modeling: check the input return series for NAs when a forecast routine fails unexpectedly. The evidence is a single user report, so it does not establish that missing observations are the only possible cause of this error or that the same remedy applies to every rugarch setup.

Key ideas

• The reported error occurred during a rolling GARCH forecast in rugarch.
• The suggested diagnosis is that the input return series contained missing values.
• Removing those missing observations resolved the issue for the respondent.
• The example is a single troubleshooting report and does not rule out other causes.

Tags

# Got "Error in ans\$res: \$ operator is invalid for atomic vectors" when rolling forecast using rugarch


# Got "Error in ans\$res: \$ operator is invalid for atomic vectors" when rolling forecast using rugarch












I used the ugarchroll in rugarch packages and got a strange error:

> `Error in ans$res: $ operator is invalid for atomic vectors`

But I don't have `$` in my code:

```
library(rugarch)
spec = ugarchspec(variance.model = list(model = "sGARCH", garchOrder = c(1,1),
       submodel = NULL , external.regressors = NULL, variance.targeting = FALSE),
      mean.model = list(armaOrder = c(2,0), include.mean = F, archm = F,
      archpow = 1,arfima = F, external.regressors = NULL, archex = FALSE),start.pars = list(), fixed.pars
      = list(),distribution.model = "norm")

rollgarch_n=ugarchroll(spec,data1return, n.ahead = 1, forecast.length = 500,
   refit.every = 21,refit.window = "moving", solver = "hybrid", solver.control = 
     list(trace = TRUE),calculate.VaR = TRUE, VaR.alpha = 0.01, 
   keep.coef = TRUE)
```

## Answer by FLautizi (score 1)

https://quant.stackexchange.com/a/34336

I was running into the same error until I realized I had some NAs in the series of returns I was trying to model/forecast. After removing NAs the code worked perfectly. I hope this will solve your problem

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.