[R-SIG-Finance] Just finished Kris Boudt's course, running into errors from non-convergence in rugarch

Farid Moussaoui mou@@@oui @ending from rom@ndie@com
Fri Nov 30 16:10:46 CET 2018


If you look to warnings(), it is said that

Warning in .makefitmodel(garchmodel = "gjrGARCH", f = .gjrgarchLLH, T = T,  :
rugarch-->warning: failed to invert hessian

The 6 available solvers got the same message.
F.

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