Re: Problem with GarchFit [NC]

>Plotting the data seems correct. The process failed when the gardhFit
>method try to compute the Hessian matrix. Actually, it seems that the
>problem comes from the mu parameter which is
>very close to 0 (mu: 9.714126e-17), and then the solve method on the
>Hessian matrix failed.
>
>"trace=F" is just to prevent printing all informations about the
>optimisation process.
>
>
>
>
>
>markleeds@...
>07/04/08 06:01 PM
>
>
>To
>Sylvain ARCHENAULT/fr/socgen@socgen
>cc
>
>Subject
>Re: [R-SIG-Finance] Problem with GarchFit [NC]
>
>
>
>
>
>
>>From: sylvain.archenault@...
>>Date: 2008/04/07 Mon AM 10:53:28 CDT
>>To: r-sig-finance@...
>>Subject: [R-SIG-Finance] Problem with GarchFit [NC]
>
>i woud plot the data and see if anything
>looks strange about it. it sounds
>like the routine is trying to take
>an inverse and can't. also, what does trace = F do ?
>maybe change that ?
>
>
>>Hello,
>>
>>I have problems with garchFit. When trying to fit a time series, I got
>the
>>following error :
>>
>>> garchFit(~garch(1,1),data=x,trace=F)
>>Error in solve.default(fit$hessian) :
>>  Lapack routine dgesv: system is exactly singular
>>
>>The method works fine on series generating by garchSim. What could be

>
>>problem with the timeseries I use ?
>>
>>Thanks,
>>Sylvain
>>*************************************************************************
>>This message and any attachments (the "message") are co...{{dropped:22}}
>
>_______________________________________________
>R-SIG-Finance@... mailing list
>https://stat.ethz.ch/mailman/listinfo/r-sig-finance
>-- Subscriber-posting only.
>-- If you want to post, subscribe first.