Using @Sujaan Kunalan suggestion,
There are subsequences
$a_{2j} = 2j(-1)^{2j} = 2j \rightarrow +\infty$ when $n=2j \rightarrow \infty$
and
$a_{2j+1} = (2j+1) \cdot (-1)^{2j+1} = -(2j+1) \rightarrow -\infty$ when $n=2j+1 \rightarrow \infty$
The original sequence cannot converge and this could be concluded in two ways
1 - There are subsequences which tend to different limits when $n$ tends to $\infty$ (that would be sufficient even if the limits where finite);
2 - There is a subsequence which diverges when $n$ tends to $\infty$