I have a problem with garchFit fuction in fSeries package. I found the following reply on one of the R list: "GARCH-Modelling is not easy, and indeed for your dataset the default "Sequential Quadratic Programming" solver doesn't converge. I observed this also for some other time series. There is already an updated version on the server, https://svn.r-project.org/Rmetrics/trunk/fSeries/ which uses improved control parameter settings as default values. With this version there exist no convergence problems" How to update my version of fSeries with the provided link? Thank you.
Help for updating package
1 message · Ivan Kalafatic