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Thank you for those suggestions. I have tried to stop the program halfway, several times and noted that the sample is changing but the coefficients alternate between these two values -0.052891 and -0.056721 over the sample period or it could be a case of a string of the same value (e.g -0.052891) an...

Thank you Gareth for your response, the issue is I intend to have 115 rolls which translate into 115 monthly(rolling) coefficients over the sample period. So I used 20.6, which I now understand that it is mispecified, so that the number of rolls !nrolls = @round((!length-!window)/!step) will equal t...

Hi Eviews Gareth I am estimating a Garch rolling regression with a moving window of 126 observations and a step size of 20.6. I have used the following code in Eviews 8 and I got some decent results, however when I use the same code in Eviews 9, I get the same value for each coefficient for the whol...

Hi Guys May you please help me with correctly declaring my sample objects in a rolling regression. I am trying to estimate a rolling regression with a moving window of 126 observations and a step size of 20.6. I am using daily data (irregular), so for example the observations from January 2004 to Ju...

Finally, the code is now storing all the coefficients correctly. Thank you so much Gareth for all the help, greatly appreciated .

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Thank you Gareth. Do you have any idea of how I can solve this error given my current code. I have tried to change some aspects of the code using the information I got on the forum regarding the division by zero error but I don't seem to get it right 'run rolling regression ' set window size !window...

Hi Gareth,the code is now assigning different values for each coefficient, thank you. However, I am getting the following error message during the estimation process: Division by zero in "colplace(tmat,ll1.@tstats,4)".

Thank you Gareth, let me do so.

Thank you Gareth for the quick response, greatly appreciated. How do I go about changing that so that I store all the coefficients correctly?

Hi Guys I am trying to estimate a rolling regression with a moving window of 126 observations and a step size of 20.6. I have tried the code below and it is giving me results. However, when storing the coefficients, for each coefficient, it gives me the same value for all the 115 iterations. I think...

Hi Trubador Thank you for those corrections, I have effected them and that problem was solved. However, there is another error: Matrix size mismatch in "colplace(coefmat,Eq1.@coefs,1) and the coefficients are not being stored. I have tried to follow some links on the forum such as viewtopic.php...

Hi Trubador

Thank you for the quick response, let me try to effect those changes.

Hi I have tried to embed my full estimation procedure into a single code as you stipulated. My mean equation is: r_t=α+θσ_t^2+(ϕ_0+ϕ_1 σ_t^2 ) r_(t-1)+ε_t and my variance equation is : σ_t^2=ω+βε_(t-1)^2+λσ_(t-1)^2+δS_(t-1) ε_(t-1)^2.To estimate my model, for each individual share, every month-end d...

Thank you, let me try to do that.