[R-SIG-Finance] Different significance of parameter estimation in GARCH models using r (rugarch & fGarch package)

[alexios ghalanos]

ok, found the solution...the default control options for the hessian
routine had a zero tolerance value of sqrt(.Machine$double.eps/7e-7)
which is obviously not sufficient for parameters like omega which are
much smaller.

Fixed and committed. Please download latest from its bitbucket
development repository using the following commands:

library(devtools)
install_bitbucket("rugarch","alexiosg")

-Alexios

On 27/03/2014 16:19, philippe wrote:
> Thank you for your swift response. I have attached the link with the fx
> rates: 
> https://drive.google.com/folderview?id=0BwSzkfw3xUH3REsxRHprZEU1R00&usp=sharing
> <https://drive.google.com/folderview?id=0BwSzkfw3xUH3REsxRHprZEU1R00&usp=sharing>  
> 
> Scaling or increasing the tolerance of the solver did not work out so far. 
> Philippe
> 
> 
> 
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