Hi Ludovic, See this post: https://stat.ethz.ch/pipermail/r-sig-finance/2014q3/012597.html
Best, Alexios > On 11 Sep 2014, at 12:57, Ludovic Theate <ludovic.the...@gmail.com> wrote: > > Hi, > > I am a frequent user of the rugarch package. In a model of mine, I use the > following command: > > spec_model <- > ugarchspec(mean.model=list(armaOrder=c(0,2),include.mean=FALSE),variance.model=list(model="sGARCH",garchOrder=c(1,1)),distribution.model="std") > > > fit_model <- ugarchfit(spec_model,data=data) > > While using this with version 1.3-1 of the package, this worked perfectly > but now that I've made the update to version 1.3-1 I get the following > message: > > Warning message: > In .makefitmodel(garchmodel = "sGARCH", f = .sgarchLLH, T = T, m = m, : > rugarch-->warning: failed to invert hessian > > I think that I have to try several solvers to find one that may converge > for the hessian inversion, but I do not understand what change in the > package has led to this. Do you have an idea ? Thanks. > > Ludovic > > [[alternative HTML version deleted]] > > _______________________________________________ > R-SIG-Finance@r-project.org mailing list > https://stat.ethz.ch/mailman/listinfo/r-sig-finance > -- Subscriber-posting only. If you want to post, subscribe first. > -- Also note that this is not the r-help list where general R questions > should go. > _______________________________________________ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
