[R-SIG-Finance] Rugarch update

[Alexios Ghalanos]

Hi Ludovic,

See this post:
https://stat.ethz.ch/pipermail/r-sig-finance/2014q3/012597.html

Best,

Alexios

> On 11 Sep 2014, at 12:57, Ludovic Theate <ludovic.theate at gmail.com> wrote:
> 
> 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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> 
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