[R-SIG-Finance] understanding an error from ugarchfit

[tvernay]

Hello,

I have the following error which sometimes comes out from the ugarchfit
function (rugarch package):

Error in diag(fit$robust.cvar) : nonvalid 'nrow' value (too large or NA)

This error only appears for certain data sets but is not systematic even for
data sets of exactly the same size.

This error disappears when I use less external regressors
(external.regressors input parameter in ugarchspec function). I would like
to understand better the origin of this error and how I can remedy to this
problem while keeping all my external regressors.

Thanks a lot, cheers,

Thibaut



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