Overflow when making residuals series

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a.do88
Posts: 27
Joined: Sat May 27, 2017 10:01 pm

Overflow when making residuals series

Postby a.do88 » Sat Oct 21, 2017 6:18 am

Hi

I got an "overflow" message when making a residuals series from a bivariate E-GARCH-M with student's t distribution error for stock returns (first difference log). It does not happen to all pairs of countries in my sample, but only to some. In addition, when I play around with the model and change the specifications (e.g. use a general EGARCH with normal distribution errors - the issue disappears). I have read some posts about overflow errors in Eviews forum, but just want to double check is it because the estimated residuals from the initial model are getting too big? Does it mean the first model is not a good model for some countries?

Thanks in advance for your help.

Regards, Anh

a.do88
Posts: 27
Joined: Sat May 27, 2017 10:01 pm

Re: Overflow when making residuals series

Postby a.do88 » Wed Oct 25, 2017 8:32 am

Can anyone please help me :(

EViews Glenn
EViews Developer
Posts: 2552
Joined: Wed Oct 15, 2008 9:17 am

Re: Overflow when making residuals series

Postby EViews Glenn » Wed Oct 25, 2017 12:20 pm

Are these residuals post-estimation or during estimation?

a.do88
Posts: 27
Joined: Sat May 27, 2017 10:01 pm

Re: Overflow when making residuals series

Postby a.do88 » Thu Oct 26, 2017 5:01 am

they are post-estimations I guess...so I run the EGARCH model for two countries, then I make the residuals from the model..

EViews Glenn
EViews Developer
Posts: 2552
Joined: Wed Oct 15, 2008 9:17 am

Re: Overflow when making residuals series

Postby EViews Glenn » Mon Oct 30, 2017 10:28 am

We're going to have to see the workfile with the estimated system object.


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