[R-SIG-Finance] Rugarch update

[Ludovic Theate]

Hi,

I am a frequent user of the rugarch package. In a model of mine, I use the
following command:

spec_model <-
ugarchspec(mean.model=list(armaOrder=c(0,2),include.mean=FALSE),variance.model=list(model="sGARCH",garchOrder=c(1,1)),distribution.model="std")


fit_model <- ugarchfit(spec_model,data=data)

While using this with version 1.3-1 of the package, this worked perfectly
but now that I've made the update to version 1.3-1 I get the following
message:

Warning message:
In .makefitmodel(garchmodel = "sGARCH", f = .sgarchLLH, T = T, m = m,  :
rugarch-->warning: failed to invert hessian

I think that I have to try several solvers to find one that may converge
for the hessian inversion, but I do not understand what change in the
package has led to this. Do you have an idea ? Thanks.

Ludovic

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