[R-SIG-Finance] Spline GARCH

[Bastian Offermann]

Hi all,

I am currently implementing the Engle & Rangel (2008) Spline GARCH 
model. I use the nlminb optimizer which does not provide a hessian 
unfortunately to get the standard errors of the coefficients. I can get 
around this using the 'hessian' function in numDeriv, but usually get 
NaN values for the omega parameter.

Can anybody recommend additional optimizers that directly return a 
hessian? How sensitive are the coefficients to the initial starting values?

Thanks in advance!