Hi all,
I am currently implementing the Engle & Rangel (2008) Spline GARCH
model. I use the nlminb optimizer which does not provide a hessian
unfortunately to get the standard errors of the coefficients. I can get
around this using the 'hessian' function in numDeriv, but usually get
NaN values for the omega parameter.
Can anybody recommend additional optimizers that directly return a
hessian? How sensitive are the coefficients to the initial starting values?
Thanks in advance!
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