ARMA(2,2) - GARCH-M estimation
Posted: Sat Jun 02, 2018 5:03 am
Dear
I am using version 10 of Eviews.
I used GARCH-M estiamtion method and tried to estimate the volatilty model of stock returns.
But I got this kind of error messages.
Could you kindly le tme know what happens in the covariance?
The main equation for stock returns is ARMA (2,2) with constant.
And run GARCH-M (1,1). then I got this errors.
-----------------------------------------------------------------------------------------
Failure to improve likelihood (non-zero gradients) after 1 iteration
Coefficient covariance computed using outer product of gradients
WARNING: Singular covariance - coefficients are not unique
-----------------------------------------------------------------------------------------
So, all the resutls are nonavailable.
Presample variance: backcast (parameter = 0.7)
GARCH = C(7) + C(8)*RESID(-1)^2 + C(9)*GARCH(-1)
Variable Coefficient Std. Error z-Statistic Prob.
@SQRT(GARCH) 3.900948 NA NA NA
C -0.092105 NA NA NA
AR(1) 0.005000 NA NA NA
AR(2) 0.005000 NA NA NA
MA(1) 0.005000 NA NA NA
MA(2) 0.005000 NA NA NA
Variance Equation
C 0.000365 NA NA NA
RESID(-1)^2 0.150000 NA NA NA
GARCH(-1) 0.600000 NA NA NA
Mean dependent var 0.000314 S.D. dependent var 0.023701
Inverted AR Roots .07 -.07
Inverted MA Roots -.00-.07i -.00+.07i
-----------------------
May i get any commenst on this results?
Thank you very much for your kind and heloful information in advance.
HIS
I am using version 10 of Eviews.
I used GARCH-M estiamtion method and tried to estimate the volatilty model of stock returns.
But I got this kind of error messages.
Could you kindly le tme know what happens in the covariance?
The main equation for stock returns is ARMA (2,2) with constant.
And run GARCH-M (1,1). then I got this errors.
-----------------------------------------------------------------------------------------
Failure to improve likelihood (non-zero gradients) after 1 iteration
Coefficient covariance computed using outer product of gradients
WARNING: Singular covariance - coefficients are not unique
-----------------------------------------------------------------------------------------
So, all the resutls are nonavailable.
Presample variance: backcast (parameter = 0.7)
GARCH = C(7) + C(8)*RESID(-1)^2 + C(9)*GARCH(-1)
Variable Coefficient Std. Error z-Statistic Prob.
@SQRT(GARCH) 3.900948 NA NA NA
C -0.092105 NA NA NA
AR(1) 0.005000 NA NA NA
AR(2) 0.005000 NA NA NA
MA(1) 0.005000 NA NA NA
MA(2) 0.005000 NA NA NA
Variance Equation
C 0.000365 NA NA NA
RESID(-1)^2 0.150000 NA NA NA
GARCH(-1) 0.600000 NA NA NA
Mean dependent var 0.000314 S.D. dependent var 0.023701
Inverted AR Roots .07 -.07
Inverted MA Roots -.00-.07i -.00+.07i
-----------------------
May i get any commenst on this results?
Thank you very much for your kind and heloful information in advance.
HIS