Hi,
I am a frequent user of the rugarch package. In a model of mine, I use the
following command:
spec_model <-
ugarchspec(mean.model=list(armaOrder=c(0,2),include.mean=FALSE),variance.model=list(model="sGARCH",garchOrder=c(1,1)),distribution.model="std")
fit_model <- ugarchfit(spec_model,data=data)
While using this with version 1.3-1 of the package, this worked perfectly
but now that I've made the update to version 1.3-1 I get the following
message:
Warning message:
In .makefitmodel(garchmodel = "sGARCH", f = .sgarchLLH, T = T, m = m, :
rugarch-->warning: failed to invert hessian
I think that I have to try several solvers to find one that may converge
for the hessian inversion, but I do not understand what change in the
package has led to this. Do you have an idea ? Thanks.
Ludovic