Re: [R] Help for updating package

From: Kerpel, John <John.Kerpel_at_infores.com>
Date: Sat 15 Jul 2006 - 03:07:59 EST


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@stat.math.ethz.ch
[mailto:r-help-bounces@stat.math.ethz.ch] On Behalf Of Ivan Kalafatic Sent: Friday, July 14, 2006 10:26 AM
To: r-help@stat.math.ethz.ch; r-sig-finance@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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R-help@stat.math.ethz.ch mailing list
https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html Received on Sat Jul 15 03:14:32 2006

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