search for: kavrakova

...system is computationally singular: reciprocal condition number = 0 Error in diag(solve(Hessian)) : error in evaluating the argument 'x' in selecting a method for function 'diag' Can anyone help me with this? I don't understand what the problem is. Many thanks, Desislava Kavrakova Code: garchfitS<-function(x){ x<<-ts(x) r<<-0.05/365 n<<-length(x) Mean = mean(x); Var = var(x); S = 1e-6 param = c(alpha0 = Var, alpha = 0.1, beta = 0.8) lowerB = c(alpha0 = S^2, alpha = S, beta = S) upperB = c(alpha0 = 100*Var, alpha = 1-S, beta = 1-S) llh<-function(p...

...1) process using the code below, but according to my textbook, the estimated parameters are wrong. The MA-parameters should be negative. (I've got the same problem using garchFit()). Can anyone tell me what I'm doing wrong? And how can I calculate the hessian matrix? Many thanks, Desislava Kavrakova Code: garch<-function(x){ x<<-ts(x) n<-length(x) Mean = mean(x); Var = var(x); S = 1e-6 param = c(a = Mean, b1 = S, b2 = S, alpha0 = 0.1*Var,alpha = 0.1, beta = 0.8) lowerB = c(a = -10*abs(Mean), b1 = S-1, b2 = S-1, alpha0 = S^2, alpha = S, beta = S) upperB = c(a = 10*abs(Mean), b1...