[R] "rugarch" package
nserdar
snes1982 at hotmail.com
Tue Sep 18 15:16:23 CEST 2012
My code:
spec<-ugarchspec(variance.model = list(model = "sGARCH", garchOrder = c(1,
1), submodel = "Null", external.regressors = NULL, variance.targeting =
FALSE), mean.model = list(armaOrder=c(0,0),include.mean =FALSE, archm =
FALSE, archpow = 1, arfima = FALSE, external.regressors = NULL, archex =
FALSE), distribution.model = "norm", start.pars = list(), fixed.pars =
list())
ugarchfit(spec, X2, out.sample = 0, solver = "solnp", solver.control =
list(trace = TRUE, tol=1e-4, delta=1e-8), fit.control = list(stationarity =
1, fixed.se = 0, scale=0))
I got this error massage
*In .makefitmodel(garchmodel = "sGARCH", f = .sgarchLLH, ... :
rugarch-->warning: failed to invert hessian *
I think rugarch is not converge the result properly.
Please let me know how to deal with this problem.
Regards,
Serdar
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