I'm trying to compute the standard
ARMA(1,1)-GARCH(1,1) as shown in this answer for an entire index,just to store in a database to quickly lookup values for back testing purposes. There is just one problem that the optimization method used by rugarch doesn't always converge giving and yields the error. I'm using minute equity data.
failed to invert hessian
Is there an easy work around or evasive solution to guarantee that it will always converge?