fGarch: possible bugs

[Yohan Chalabi]

>>>> "MM" == michal miklovic <mmiklovic at yahoo.com>
>>>> on Mon, 11 Feb 2008 11:03:56 -0800 (PST)

   MM> 4. There seems to be a problem in the computation of the
   MM> hessian. The default hessian="fda" used with algorithm="nlminb"
   MM> produced a covariance matrix with negative numbers on the
   MM> diagonal. First, I thought this inaccuracy is the price to pay
   MM> for faster computation. The setting hessian="cda" produced a
   MM> covariance matrix with only positive numbers on the diagonal
   MM> but it took longer to calculate the hessian. However, when
   MM> I used algorithm="sqp" both hessian="fda" and hessian="cda"
   MM> produced covariance matrices with negative numbers on the
   MM> diagonal. Therefore, I would like to ask if such a result
   MM> is OK or if there is a bug in the fortran implementation of
   MM> hessian computation.

and to respond to your question...

No, it is not OK to have negative numbers on the diagonal! And I think
it should work now with hessian="cda".
One possible problem could be a miss specified model. What time
series / data are you trying to model? I would be curious to see it and
check if the problem comes from "cda".

regards,
Yohan