rugarch package "Warning Message" for GARCH-Normal

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rugarch package "Warning Message" for GARCH-Normal

nserdar

My code: spec<-ugarchspec(variance.model = list(model = "sGARCH", garchOrder = c(1, 1), submodel = "Null", external.regressors = NULL, variance.targeting = FALSE), mean.model = list(armaOrder=c(0,0),include.mean =FALSE, archm = FALSE, archpow = 1, arfima = FALSE, external.regressors = NULL, archex = FALSE), distribution.model = "norm", start.pars = list(), fixed.pars = list())    ugarchfit(spec, X2, out.sample = 0, solver = "solnp", solver.control = list(trace = TRUE, tol=1e-4, delta=1e-8), fit.control = list(stationarity = 1, fixed.se = 0, scale=0))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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Re: rugarch package "Warning Message" for GARCH-Normal

alexios
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.

-Alexios

On 18/09/2012 16:57, Serdar Neslihanoglu wrote:
>
> My code: spec<-ugarchspec(variance.model = list(model = "sGARCH", garchOrder = c(1, 1),
submodel = "Null", external.regressors = NULL, variance.targeting = FALSE),
mean.model = list(armaOrder=c(0,0),include.mean =FALSE, archm = FALSE,
archpow = 1,
arfima = FALSE, external.regressors = NULL, archex = FALSE),
distribution.model = "norm",
start.pars = list(), fixed.pars = list())

ugarchfit(spec, X2, out.sample = 0, solver = "solnp", solver.control =
list(trace = TRUE, tol=1e-4, delta=1e-8),
fit.control = list(stationarity = 1, fixed.se = 0, scale=0))

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  
> [[alternative HTML version deleted]]
>
> _______________________________________________
> [hidden email] mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only. If you want to post, subscribe first.
> -- Also note that this is not the r-help list where general R questions should go.
>

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