Error message of rmgarch package

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Hi,

Try solver='gosolnp' (NOT 'slover'...at best rlover), and report back if you continue to have problems. Also, the cgarchspec you provide has errors (fixed.pars should be outside the distribution.model list and I am assuming that you WANT to fix the shape parameter since cgarchfit CAN estimate it)...and make sure you are using the latest version from google code.

Regards,

Alexios

Hi,Alexios,

I am doing a project using Rmgarch package and i kept getting the following
error messages when using 'cgarchfit'. I was wondering if you could give
any advice. Many thanks!!!

Non-Converged:
[1] 2

dccfit-->error: convergence problem in univariate fit...
...returning uGARCHmultifit object instead...check and resubmit...Error in
UseMethod("rcor") :
 no applicable method for 'rcor' applied to an object of class
"uGARCHmultifit"
In addition: Warning message:
In .sgarchfit(spec = spec, data = data, out.sample = out.sample,  :
ugarchfit-->warning: solver failer to converge.

Here is my code:

uspec = ugarchspec(mean.model = list(armaOrder = c(1,0),include.mean=TRUE),
                  variance.model = list(garchOrder = c(1,1), model =
"sGARCH"),
                  distribution.model = "norm")

spec1 = cgarchspec(uspec = multispec( replicate(2, uspec) ), asymmetric =
TRUE, distribution.model = list(copula = "mvt", method = "Kendall",
time.varying = TRUE, transformation = "empirical",fixed.pars = list(mshape
= v)))
fit1 = cgarchfit(spec1, data =return,
solver.control=list(trace=0),slover=c("gosolnp","lbfgs"))

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