[R-SIG-Finance] rugarch singular issue

Jia Shao @c3679 @end|ng |rom coventry@@c@uk
Mon Feb 17 00:56:48 CET 2020

Hi Alexios,

I am working on ‘rugarch’ package recently and sometimes have
Error in robustvcv(fun = f, pars = ipars[estidx, 1], nlag = nlag, hess = fit$hessian, : object 'B' not found

Error in solve.default(A) :
  system is computationally singular: reciprocal condition number = 1.91379e-16

which is related to the file
rugarch-numderiv.R line 140

robustvcv = function(fun, pars, nlag = 0, hess, n, ...)


        Ainv = try( solve(A), silent = TRUE )

Because 'solve(A)’ think the matrix A is singular. Instead of using solve(A), using inv(A) available in the package ‘matlib’ will solve the issue.

Do you think this is a reasonable change in the package?

Best regards
Jia Shao

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