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rugarch: External Regressor
Simon van Norden
·
Jan 11, 2023
·
r-sig-finance
Having trouble with bad initial parameter estimates in rugarch when using an external regressor. * Convergence code is 0 and convergence is rapid, but?. * Coefficient estimate on the external regressor is always 0.00000 and condH = NaN * Results are robust to...
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