rugarch problem

Please,

Again running the code, the problem is the same using the latest version.


library(rugarch)
spec = ugarchspec()
data(sp500ret)
fit = ugarchfit(spec = spec, data = sp500ret)
show(fit)

The answer is

library(rugarch)Loading required package: RcppLoading required package: RcppArmadilloLoading required package: parallelLoading required package: numDerivLoading required package: chronLoading required package: RsolnpLoading required package: truncnormPackage Rsolnp (1.14) loaded.  To cite, see citation("Rsolnp")
spec = ugarchspec()> data(sp500ret)> fit = ugarchfit(spec = spec, data = sp500ret)Warning message:In .sgarchfit(spec = spec, data = data, out.sample = out.sample,  :

ugarchfit-->warning: solver failer to converge.> show(fit)
*---------------------------------*
*          GARCH Model Fit        *
*---------------------------------*

Conditional Variance Dynamics    
-----------------------------------
GARCH Model    : sGARCH(1,1)
Mean Model    : ARFIMA(1,0,1)
Distribution    : norm

Convergence Problem:
Solver Message:

sessionInfo()R version 2.15.3 (2013-03-01)

Platform: i386-w64-mingw32/i386 (32-bit)

locale:
[1] LC_COLLATE=English_United States.1252
[2] LC_CTYPE=English_United States.1252
[3] LC_MONETARY=English_United States.1252
[4] LC_NUMERIC=C
[5] LC_TIME=English_United States.1252

attached base packages:
[1] parallel  stats     graphics  grDevices utils     datasets
[7] methods   base

other attached packages:
[1] rugarch_1.0-16          Rsolnp_1.14
[3] truncnorm_1.0-6         chron_2.3-43
[5] numDeriv_2012.9-1       RcppArmadillo_0.3.800.1
[7] Rcpp_0.10.2

loaded via a namespace (and not attached):
[1] tools_2.15.1

==========================================================================

And using another computer the problem is the same.
Can anyone help me?

Thanks for your patience. Best

Fernando Aiube

http://www.blogdolivro-aiube.blogspot.com/<http://www.ind.puc-rio.br/pagina_professores.aspx?id=faiube>


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