I am currently working on my master thesis to study the hedging effectiveness of crypto indexes against other conventional indices such as S&P500
When implementing the model in R, I get this message:
Erreur dans UseMethod("convergence") :
pas de méthode pour 'convergence' applicable pour un objet de classe "try-error"
I think that it is due to the fact that both variables I am working on don't have the same nb of observations. I am comparing FSTOK10 (crypto index) to iSharesDowJonesUSETF (stock ETF), which respectively have 1151 and 1257 obs. I don't have any date benchmark
How could I make it work please ?
uspec = ugarchspec(mean.model = list(armaOrder = c(0,0)), variance.model = list(garchOrder = c(1,1), model = "sGARCH"), distribution.model = "norm")
spec1=dccspec(uspec = multispec(replicate(2,uspec)),dccOrder = c(1,1),distribution = "mvnorm")
fit1=dccfit(spec1,data =data.frame(FSTOK10,iShares_Core_S&P_500_ETF)
fit1
***I tried those to codes but it does not work.
FSTOK10.iSharesDowJonesUSETF <- merge(FSTOK10,iSharesDowJonesUSET, all = FALSE)
fit1=dccfit(spec1, data = na.omit(FSTOK10.iSharesDowJonesUSETF))