Re: rugarch package "Warning Message" for GARCH-Normal
The documentation and vignette FAQs list a couple of options (please
read them). In order of likely importance:
1. Set tol<delta (in solver.control).
2. Use scaling (in fit.control).
3. Set stationarity to FALSE (sometimes this creates problems with the
solver for some boundary cases).
4. Use an alternate solver(s) (there are many now included).
5. Change the default solver parameters.
6. Use starting values.
7. Check your data for extreme outliers or numbers of zeros.
In the next release I will provide a hybrid solver optimization strategy
to rotate among the available solvers when this happens.
I got this error massage In .makefitmodel(garchmodel = "sGARCH", f =
.sgarchLLH, ... :
rugarch-->warning: failed to invert hessian I think rugarch is not
converge the result properly.
Please let me know how to deal with this problem. Regards, Serdar
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