I don't know whether it is permitted to post the same question on different sites on StackExchange. I have posted it on Cross Vlidated and got no answer, so I want to have a try here.
This is the original question. I really appreciate it if someone can solve my problem.
My code in R is as follows:
#get data
re <- read.table("return.csv",sep=",",header=TRUE)
re[,1] <- as.character(re[,1])
re[,1] <- as.Date(re[,1])
#create dummy variable
re$T <- re[,1]>as.Date("2010-03-31")
re$T <- as.numeric(re$T)
T <- as.matrix(re$T)
library("xts")
xts <- as.xts(re[,-1],order.by=re[,1])
library("rugarch")
#GARCH specification
garchspec <- ugarchspec(variance.model = list(model = "sGARCH", garchOrder = c(1, 1),
submodel = NULL, external.regressors = T,
variance.targeting = FALSE),
mean.model = list(armaOrder = c(0, 0), include.mean = TRUE,
archm = TRUE, archpow = 1, arfima = FALSE,
external.regressors = NULL, archex = FALSE),
distribution.model = "ged",
start.pars = list(), fixed.pars = list())
#fitting
fit <- ugarchfit(spec=garchspec, data=xts[,1], out.sample = 0,solver="solnp",
solver.control = list(trace=0), fit.control =
list(stationarity = 1, fixed.se = 0, scale = 0, rec.init = 0.7))
show(fit)
Is there any mistake with it?