GARCH, Max Iteration and Convergence programing

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GARCH, Max Iteration and Convergence programing

Postby Afterall » Thu Sep 06, 2018 10:10 am

I programing some GARCH models in Eviews programming language. I have been look for some programing guide, but I cant find the code for determination a Max Iteration and Convergence. We have this option in Equation window. The default value is 500 Max Iteration and 0.0001 for Convergence. But I want to do test with diferent values. Please help.

Code: Select all

smpl 01/01/2018 06/07/2018
equation eq_cbase

   ' GARCH (1,1) How to write code for Iterative proces, - Max Iteration and - Convergence
eq_cbase.ARCH(1,1) cbase c cbase(-1)

EViews Matt
EViews Developer
Posts: 356
Joined: Thu Apr 25, 2013 7:48 pm

Re: GARCH, Max Iteration and Convergence programing

Postby EViews Matt » Thu Sep 06, 2018 10:28 am


If you examine the documentation for the arch proc, you'll find that there are options for both the maximum number of iterations (m) and the convergence criterion (c).

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