My code:
spec<-ugarchspec(variance.model = list(model = "sGARCH", garchOrder
= c(1,
1), submodel = "Null", external.regressors = NULL, variance.targeting
FALSE), mean.model = list(armaOrder=c(0,0),include.mean =FALSE, archm FALSE,
archpow = 1, arfima = FALSE, external.regressors = NULL, archex FALSE),
distribution.model = "norm", start.pars = list(), fixed.pars list())
ugarchfit(spec, X2, out.sample = 0, solver = "solnp", solver.control
list(trace = TRUE, tol=1e-4, delta=1e-8), fit.control = list(stationarity 1,
fixed.se = 0, scale=0))
I got this error massage
*In .makefitmodel(garchmodel = "sGARCH", f = .sgarchLLH, ... :
rugarch-->warning: failed to invert hessian *
I think rugarch is not converge the result properly.
Please let me know how to deal with this problem.
Regards,
Serdar
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