Thanks, it works great. 

I didn't understand well the "include.mean" parameter, I thought it has 
only effects if a mean formul (ARMA) was specified.



markleeds@verizon.net 
07/04/08 06:21 PM


To
Sylvain ARCHENAULT/fr/socgen@socgen
cc

Subject
Re: Re: [R-SIG-Finance] Problem with GarchFit [NC]






>From: sylvain.archenault@sgcib.com
>Date: 2008/04/07 Mon AM 11:14:48 CDT
>To: R-SIG-Finance@stat.math.ethz.ch
>Subject: Re: [R-SIG-Finance] Problem with GarchFit [NC]

if you're confident that there isn'ta non zero
mean, then
is there an option for fixing mu at zero (
i/e: zero mean )  ? maybe that could
fix things ? I'm no expert at this as
you can tell so i'm just throwing things
out there. good luck.



>Plotting the data seems correct. The process failed when the gardhFit 
>method try to compute the Hessian matrix. Actually, it seems that the 
>problem comes from the mu parameter which is 
>very close to 0 (mu: 9.714126e-17), and then the solve method on the 
>Hessian matrix failed. 
>
>"trace=F" is just to prevent printing all informations about the 
>optimisation process.
>
>
>
>
>
>markleeds@verizon.net 
>07/04/08 06:01 PM
>
>
>To
>Sylvain ARCHENAULT/fr/socgen@socgen
>cc
>
>Subject
>Re: [R-SIG-Finance] Problem with GarchFit [NC]
>
>
>
>
>
>
>>From: sylvain.archenault@sgcib.com
>>Date: 2008/04/07 Mon AM 10:53:28 CDT
>>To: r-sig-finance@stat.math.ethz.ch
>>Subject: [R-SIG-Finance] Problem with GarchFit [NC]
>
>i woud plot the data and see if anything
>looks strange about it. it sounds
>like the routine is trying to take
>an inverse and can't. also, what does trace = F do ?
>maybe change that ? 
>
>
>>Hello,
>>
>>I have problems with garchFit. When trying to fit a time series, I got 
>the 
>>following error : 
>>
>>> garchFit(~garch(1,1),data=x,trace=F)
>>Error in solve.default(fit$hessian) : 
>>  Lapack routine dgesv: system is exactly singular
>>
>>The method works fine on series generating by garchSim. What could be 
the 
>
>>problem with the timeseries I use ?
>>
>>Thanks,
>>Sylvain
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