Running examples in ‘cvar-Ex.R’ failed
The error most likely occurred in:

> base::assign(".ptime", proc.time(), pos = "CheckExEnv")
> ### Name: predict.garch1c1
> ### Title: Prediction for GARCH(1,1) time series
> ### Aliases: predict.garch1c1
> 
> ### ** Examples
> 
> op <- options(digits = 4)
> 
> ## set up a model and simulate a time series
> mo <- GarchModel(omega = 0.4, alpha = 0.3, beta = 0.5)
> a1 <- sim_garch1c1(mo, n = 1000, n.start = 100, seed = 20220305)
> 
> ## predictions for T+1,...,T+5 (T = time of last value)
> ## Nsim is small to reduce the load on CRAN, usually Nsim is larger.
> a.pred <- predict(mo, n.ahead = 5, Nsim = 1000, eps = a1$eps,
+   sigmasq = a1$h, seed = 1234)
> 
> ## preditions for the time series
> a.pred$eps
[1] 0 0 0 0 0
> 
> ## PI's for eps - plug-in and simulated
> a.pred$pi_plugin
        lwr   upr
[1,] -2.484 2.484
[2,] -2.544 2.544
[3,] -2.591 2.591
[4,] -2.628 2.628
[5,] -2.658 2.658
> a.pred$pi_sim
       2.5% 97.5%
[1,] -2.447 2.465
[2,] -2.662 2.559
[3,] -2.426 2.624
[4,] -2.538 2.370
[5,] -2.645 2.637
> 
> ## a DIY calculation of PI's using the simulated sample paths
> t(apply(a.pred$dist_sim$eps, 1, function(x) quantile(x, c(0.025, 0.975))))
       2.5% 97.5%
[1,] -2.447 2.465
[2,] -2.662 2.559
[3,] -2.426 2.624
[4,] -2.538 2.370
[5,] -2.645 2.637
> 
> ## further investigate the predictive distributions
> t(apply(a.pred$dist_sim$eps, 1, function(x) summary(x)))
       Min. 1st Qu.    Median      Mean 3rd Qu.  Max.
[1,] -3.922 -0.8366 -0.064571 -0.004804  0.8683 4.050
[2,] -6.755 -0.8333  0.055137  0.012828  0.8895 4.320
[3,] -5.198 -0.8541 -0.015145 -0.004674  0.8138 4.290
[4,] -3.786 -0.8596 -0.001705 -0.029519  0.7609 4.241
[5,] -5.000 -0.8314 -0.019039 -0.016285  0.7956 4.860
> 
> ## compare predictive densities for horizons 2 and 5:
> h2 <- a.pred$dist_sim$eps[2, ]
> h5 <- a.pred$dist_sim$eps[5, ]
> main <- "Predictive densities: horizons 2 (blue) and 5 (black)"
> plot(density(h5), main = main)
> lines(density(h2), col = "blue")
> 
> ## predictions of sigma_t^2
> a.pred$h
[1] 1.606 1.685 1.748 1.798 1.839
> 
> ## plug-in predictions of sigma_t
> sqrt(a.pred$h)
[1] 1.267 1.298 1.322 1.341 1.356
> 
> ## simulation predictive densities (PD's) of sigma_t for horizons 2 and 5:
> h2 <- sqrt(a.pred$dist_sim$h[2, ])
> h5 <- sqrt(a.pred$dist_sim$h[5, ])
> main <- "PD's of sigma_t for horizons 2 (blue) and 5 (black)"
> plot(density(h2), col = "blue", main = main)
> lines(density(h5))
> 
> ## VaR and ES for different horizons
> cbind(h = 1:5,
+       VaR = apply(a.pred$dist_sim$eps, 1, function(x) VaR(x, c(0.05))),
+       ES = apply(a.pred$dist_sim$eps, 1, function(x) ES(x, c(0.05))) )
     h   VaR    ES
[1,] 1 2.077 2.593
[2,] 2 2.075 2.972
[3,] 3 2.106 2.651
[4,] 4 2.066 2.680
[5,] 5 2.167 2.886
> 
> ## fit a GARCH(1,1) model to exchange rate data and predict
> gmo1 <- fGarch::garchFit(formula = ~garch(1, 1), data = fGarch::dem2gbp,
+   include.mean = FALSE, cond.dist = "norm", trace = FALSE)
Error in loadNamespace(x) : there is no package called ‘fGarch’
Calls: loadNamespace -> withRestarts -> withOneRestart -> doWithOneRestart
Execution halted