[R-sig-finance] fSeries_221.10065 and garchFit+sqp makes R lock up

[Monty B.]

Dear all,

I am fitting garch models to a sliding window of observations of the
USD/NOK exchange rate. I've been provided with the Ox/G at RCH package,
but I am not entirely happy with it's scriptability, so I thought I
would give fSeries a go. The package seems to work well for some
series, but for others, it locks up R.

This code:

library(fSeries)
y <- read.table("fGARCH_crash.csv")
fg <- garchFit(formula.mean =~ arma(0,0), formula.var =~ garch(1,1),
                 cond.dist = "dnorm", y, trace=T, title="USD vs NOK")

and the file:

http://us.f13.yahoofs.com/bc/44422dee_a419/bc/My+Documents/fGARCH_crash.csv?bfcOjQEBfGO1k9on

makes R crash giving no output when the default settings are used.
Changing the algorithm to "nlminb" seems to provide estimates. BUT, I
am a bit skeptical about changing defaults when I do not know what the
difference between sqp and nlminb is.

Any suggestions? Should I use the non-default optimization? Can anyone
refer me to literature on what the difference is? Will the parameter
estimates be of worse quality?

BTW: I am using R for windows 2.2.1. I have tested both the standard
2.2.1 and the patched 2.2.1 versions with this code.

Thanks for any input,

cheers,

Monty