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GARCHModel's gradient method return Array(alphaGradient * .5, betaGradient * .5, omegaGradient * .5). I think the return should be Array(omegaGradient * .5, alphaGradient * .5, betaGradient * .5 )
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Thanks for catching this, I think you're correct. Would you like to submit a pull request for it? If not, I can make the fix myself.
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GARCHModel's gradient method return Array(alphaGradient * .5, betaGradient * .5, omegaGradient * .5). I think the return should be Array(omegaGradient * .5, alphaGradient * .5, betaGradient * .5 )
The text was updated successfully, but these errors were encountered: