Windows Error 0xe06d7363 when using Cross Validation XGboost

I am using xgb api for python and when trying to do xgb.cv I get the following error,

param = {'max_depth': 6, 'eta': 0.1,'objective' :'reg:squarederror','subsample':0.8 ,'gamma':0,
         'colsample_bytree':1,'nthread':cores,'base_score':y_train.mean(),'eval_metric':'rmse'}
num_round = 1
evallist = [(test, 'eval'), (train, 'train')]


xgb.cv(param, train, num_round, nfold=5,
           metrics={'error'}, seed=0,
           callbacks=[xgb.callback.print_evaluation(show_stdv=True)])
    
    
        OSError                                   Traceback (most recent call last)
        <ipython-input-29-9d56c9a868ed> in <module>
              5 xgb.cv(param, train, num_round, nfold=5,
              6        metrics={'error'}, seed=0,
        ----> 7        callbacks=[xgb.callback.print_evaluation(show_stdv=True)])
        
        ~\Anaconda3\lib\site-packages\xgboost\training.py in cv(params, dtrain, num_boost_round, nfold, stratified, folds, metrics, obj, feval, maximize, early_stopping_rounds, fpreproc, as_pandas, verbose_eval, show_stdv, seed, callbacks, shuffle)
            464     results = {}
            465     cvfolds = mknfold(dtrain, nfold, params, seed, metrics, fpreproc,
        --> 466                       stratified, folds, shuffle)
            467 
            468     # setup callbacks
        
        ~\Anaconda3\lib\site-packages\xgboost\training.py in mknfold(dall, nfold, param, seed, evals, fpreproc, stratified, folds, shuffle)
            323     for k in range(nfold):
            324         # perform the slicing using the indexes determined by the above methods
        --> 325         dtrain = dall.slice(in_idset[k])
            326         dtest = dall.slice(out_idset[k])
            327         # run preprocessing on the data set if needed
        
        ~\Anaconda3\lib\site-packages\xgboost\core.py in slice(self, rindex, allow_groups)
            955                                                  c_bst_ulong(len(rindex)),
            956                                                  ctypes.byref(res.handle),
        --> 957                                                  ctypes.c_int(1 if allow_groups else 0)))
            958         return res
            959 
        
        OSError: [WinError -529697949] Windows Error 0xe06d7363

I already tried to install and uninstall XGB but I don't think that is the problem because I can train, the problem is when I try to do cross validation.

I am using:

Python : 3.7.3 (default, Apr 24 2019, 15:29:51) [MSC v.1915 64 bit (AMD64)]

xgb.version '1.1.0'

Update 20200831

What it worked for me was:

1. Uninstall xgboost

2. Upgrade pip

3. Reinstall xgboost using pip3 install xgboost