Ivan:
I'm guessing you've got the latest version of fSeries if you downloaded
it recently from CRAN.
I've noticed the convergence problems too. I changed to
algorithm="lbfgsb" and haven't had a problem since. (I'm
running
Windows XP and R 2.3.1)
John
-----Original Message-----
From: r-help-bounces at stat.math.ethz.ch
[mailto:r-help-bounces at stat.math.ethz.ch] On Behalf Of Ivan Kalafatic
Sent: Friday, July 14, 2006 10:26 AM
To: r-help at stat.math.ethz.ch; r-sig-finance at stat.math.ethz.ch
Subject: [R] Help for updating package
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.
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