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List:       r-sig-finance
Subject:    [R-SIG-Finance] Estimating BEKK model with the mgarch package
From:       Jeff Braun <jmbraun () gmail ! com>
Date:       2009-11-23 22:10:33
Message-ID: 38562380911231410l5fa7f8a3q1f4d1bf3babc1417 () mail ! gmail ! com
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I'm trying to use the mgarch package to estimate multivariate GARCH models
(specifically, I'm using the mvBEKK.est method).  Whenever I estimate a
model, I get a number of messages:

H IS SINGULAR!...

and at the end, I get:

Warning message:
In mvBEKK.est(mgarch_input, order = c(1, 1)) :
  negative inverted hessian matrix element


Are these serious problems?  In addition to the data I'm using, I've also
tried estimating mvBEKK with randomly generated series, and I get the same
result.  If these warnings are genuine problems, any ideas on how I can work
around these?



Thanks,
Jeff

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