Thanks. It worked.
I am so grateful.
Search found 18 matches
- Fri Sep 04, 2015 1:15 am
- Forum: Estimation
- Topic: BIVARIATE GARCH BEKK
- Replies: 25
- Views: 21422
- Thu Sep 03, 2015 11:10 pm
- Forum: Estimation
- Topic: BIVARIATE GARCH BEKK
- Replies: 25
- Views: 21422
Re: BIVARIATE GARCH BEKK
Dr Trubador, I am having an issue with the estimation of the 10 minutes interval in the second sample period. The error message is "Attempt to raise a negative number to a non integer power - Missing data generated in "SERIES STRES1 = RES1 /(VAR_R1 ^ .5)" Please how can I resolve this...
- Thu Sep 03, 2015 10:19 pm
- Forum: Estimation
- Topic: BIVARIATE GARCH BEKK
- Replies: 25
- Views: 21422
Re: BIVARIATE GARCH BEKK
Dear Trubador,
Thanks for your patience and assistance. I have resolved it.
Thanks for your patience and assistance. I have resolved it.
- Thu Sep 03, 2015 6:22 pm
- Forum: Estimation
- Topic: BIVARIATE GARCH BEKK
- Replies: 25
- Views: 21422
Re: BIVARIATE GARCH BEKK
Dear Trubador,
Thank you for your patience and apologies for the late reply. The office closed and I did not have access to Eviews.
The build date is April 27 2015.
Thank you for your patience and apologies for the late reply. The office closed and I did not have access to Eviews.
The build date is April 27 2015.
- Thu Sep 03, 2015 7:27 am
- Forum: Estimation
- Topic: BIVARIATE GARCH BEKK
- Replies: 25
- Views: 21422
Re: BIVARIATE GARCH BEKK
I am still getting the same error message. Please find below the code I used; smpl @all series r1 = dlog(spot) series r2 = dlog(futures) sample s0 @first @last-5 sample s1 @first+2 @last-5 smpl s0 equation eq1.arch(m=100,c=1e-5,h,b) r1 c equation eq2.arch(m=100,c=1e-5,h,b) r2 c coef(2) mu mu(1) = eq...
- Thu Sep 03, 2015 7:15 am
- Forum: Estimation
- Topic: BIVARIATE GARCH BEKK
- Replies: 25
- Views: 21422
Re: BIVARIATE GARCH BEKK
Thank you.
- Thu Sep 03, 2015 6:57 am
- Forum: Estimation
- Topic: BIVARIATE GARCH BEKK
- Replies: 25
- Views: 21422
Re: BIVARIATE GARCH BEKK
I have posted the 30 minutes and 10 minutes files.
Thank you for your patience.
Thank you for your patience.
- Thu Sep 03, 2015 6:00 am
- Forum: Estimation
- Topic: BIVARIATE GARCH BEKK
- Replies: 25
- Views: 21422
Re: BIVARIATE GARCH BEKK
Thank you for you reply.
I did a fresh start. But I am getting the same error message. Do you think the problem might be from my data set. I tried the code on the 30minutes interval and got same error "syntax error in LOGL BVGARCH"
I did a fresh start. But I am getting the same error message. Do you think the problem might be from my data set. I tried the code on the 30minutes interval and got same error "syntax error in LOGL BVGARCH"
- Thu Sep 03, 2015 4:42 am
- Forum: Estimation
- Topic: BIVARIATE GARCH BEKK
- Replies: 25
- Views: 21422
Re: BIVARIATE GARCH BEKK
Dear Trubador,
I made the changes on the program. But still can't generate the output. I am getting an error message 'Syntax error in 'LOGL BVGARCH".
Please advise.
Thank you,
I made the changes on the program. But still can't generate the output. I am getting an error message 'Syntax error in 'LOGL BVGARCH".
Please advise.
Thank you,
- Wed Sep 02, 2015 10:37 am
- Forum: Estimation
- Topic: BIVARIATE GARCH BEKK
- Replies: 25
- Views: 21422
Re: BIVARIATE GARCH BEKK
Thank you for your reply. My sincere apologies. I am using intraday data. Eviews 8 Please find below my code. I not very familiar with coding. I modified the codes I found in the forum. smpl @all series r1 = dlog(spot) series r2 = dlog(futures) sample s0 @first @last-5 sample s1 @first+2 @last-5 smp...
- Fri Aug 28, 2015 5:49 am
- Forum: Estimation
- Topic: BIVARIATE GARCH BEKK
- Replies: 25
- Views: 21422
Re: BIVARIATE GARCH BEKK
Please can someone help! It's really frustrating. I have tried several times time. Still the same error message "Logl estimates are not valid" I have attached me most recent Eviews file. Am running out of time. PLEASE HELP!
- Fri Aug 28, 2015 4:37 am
- Forum: Estimation
- Topic: BIVARIATE GARCH BEKK
- Replies: 25
- Views: 21422
Re: BIVARIATE GARCH BEKK
PLEASE can someone HELP?
- Thu Aug 27, 2015 4:48 am
- Forum: Estimation
- Topic: BIVARIATE GARCH BEKK
- Replies: 25
- Views: 21422
Re: BIVARIATE GARCH BEKK
Hi,
I tried with a different set of codes but still have same error. I have attached the Eviews file here.
Kindly assist.
I tried with a different set of codes but still have same error. I have attached the Eviews file here.
Kindly assist.
- Thu Aug 27, 2015 3:52 am
- Forum: Estimation
- Topic: BIVARIATE GARCH BEKK
- Replies: 25
- Views: 21422
BIVARIATE GARCH BEKK
Hi, Please I need assistance on estimating the Bivarate GARCH BEKK. I used the attached codes to estimate the model but cannot generate the output. The system says "LogL estimates are not valid". I have been trying to resolve this since. At this point, I am stock on my dissertation. Can yo...
- Wed Jul 08, 2015 12:07 am
- Forum: Estimation
- Topic: Market open effect dummy
- Replies: 0
- Views: 1778
Market open effect dummy
Hi, I am trying to estimate conditional means of return for cash and futures market using Bivariate VAR model. I need to include a dummy variable in the mean equation to capture the market opening effects at different times (e.g 9.15am 9.30am, 10.00am) . Please how do I estimate the Dummy variable? ...