Thanks for this suggestion Alexios. I am now running the latest rugarch
version from r-forge (1.2-9) but the error remains. Basically, this error is
described as a ugarchfilter error, while I do not have any call to this
routine in my code. Apparently this error comes from the ugarchfit function
with external regressors, for some reason...
Cheers,
Thibaut
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