[R-SIG-Finance] rugarch: External Regressor

[Simon van Norden]

Having trouble with bad initial parameter estimates in rugarch when using an external regressor.

  *   Convergence code is 0 and convergence is rapid, but….
  *   Coefficient estimate on the external regressor is always 0.00000 and condH = NaN
  *   Results are robust to variable scaling and optimization algorithm (tried them all.)

My hunch is that I’m on a saddle point (or similar ‘flat spot’.)
I’d like to try alternative initial parameter estimates for the external regressor; can anyone point me to an example showing how to pass this to the optimizer?

Would to happy to hear of other suggestions, or provide details, a reprex, etc.

FWIW, this may be related to the question someone else posted back on 20-06-2022.

Thnx


Simon van Norden
Professeur Titulaire
Finance
3000, chemin de la Côte‑Sainte‑Catherine,
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Telephone: 514 340 6781
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