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<p class="MsoNormal">Having trouble with bad initial parameter estimates in rugarch when using an external regressor.<o:p></o:p></p>
<ul style="margin-top:0cm" type="disc">
<li class="MsoListParagraph" style="margin-left:0cm;mso-list:l0 level1 lfo1">Convergence code is 0 and convergence is rapid, but….<o:p></o:p></li><li class="MsoListParagraph" style="margin-left:0cm;mso-list:l0 level1 lfo1">Coefficient estimate on the external regressor is always 0.00000 and condH = NaN<o:p></o:p></li><li class="MsoListParagraph" style="margin-left:0cm;mso-list:l0 level1 lfo1">Results are robust to variable scaling and optimization algorithm (tried them all.)<o:p></o:p></li></ul>
<p class="MsoNormal"><o:p> </o:p></p>
<p class="MsoNormal">My hunch is that I’m on a saddle point (or similar ‘flat spot’.)<o:p></o:p></p>
<p class="MsoNormal">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?<o:p></o:p></p>
<p class="MsoNormal"><o:p> </o:p></p>
<p class="MsoNormal">Would to happy to hear of other suggestions, or provide details, a reprex, etc.<o:p></o:p></p>
<p class="MsoNormal"><o:p> </o:p></p>
<p class="MsoNormal">FWIW, this may be related to the question someone else posted back on 20-06-2022.<o:p></o:p></p>
<p class="MsoNormal"><o:p> </o:p></p>
<p class="MsoNormal">Thnx<o:p></o:p></p>
<p class="MsoNormal"><o:p> </o:p></p>
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