[R] Implied GARCH parameters - Error in chol.default(Hessian) : the leading minor of order 1 is not positive definite

[Desislava Kavrakova]

Dear R-Users,

I'm trying to estimate GARCH parameters implied by options prices (on wednesdays only) by minimizing the average mean squared dollar error between the market and the model price, but I always get the following error message:

Error in chol.default(Hessian) : 
  the leading minor of order 1 is not positive definite


# model mean under the risk neutral measure: R[t] = r-0.5*hh[t]+sqrt(hh[t])*z[t]
# cond. variance under the risk neutral measure: hh[t] = alpha0 + beta*hh[t-1] + alpha*hh[t-1]*z[t-1]
# z~N(0,1), lambda = 0


Any help will be greatly appreciated.

Desislava Kavrakova