Having trouble with bad initial parameter estimates in rugarch when using an external regressor.
* Convergence code is 0 and convergence is rapid, but…. * Coefficient estimate on the external regressor is always 0.00000 and condH = NaN * Results are robust to variable scaling and optimization algorithm (tried them all.) My hunch is that I’m on a saddle point (or similar ‘flat spot’.) I’d like to try alternative initial parameter estimates for the external regressor; can anyone point me to an example showing how to pass this to the optimizer? Would to happy to hear of other suggestions, or provide details, a reprex, etc. FWIW, this may be related to the question someone else posted back on 20-06-2022. Thnx Simon van Norden Professeur Titulaire Finance 3000, chemin de la Côte‑Sainte‑Catherine, Montréal (Québec) H3T 2A7 Telephone: 514 340 6781 [HEC Montréal]<http://www.hec.ca/> [Agréments]<http://www.hec.ca/decouvrez/choisir_hec/> hec.ca<http://www.hec.ca/>
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