Hi all,
When trying to perform GARCH(1,1) volatility updating to a series of 5540 observations of lognormalreturns, I get the error "log of non positive number". As the manual says GARCH models the mean of a conditional variable. As the returns are my variable, i can't use the prices. Can anyone help me on this? Thanks heaps!
GARCH (1,1) estimation issue
Moderators: EViews Gareth, EViews Moderator
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- EViews Developer
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Re: GARCH (1,1) estimation issue
Probably starting values. Do a forum search for starting values.
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Re: GARCH (1,1) estimation issue
First of all, thanks for your help. I searched around and played with the starting values, but the error keeps comping up wheter i select OLS, .8,.5,.3 or 0.
I'm totally in the dark here!
I'm totally in the dark here!
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- EViews Developer
- Posts: 2647
- Joined: Wed Oct 15, 2008 9:17 am
Re: GARCH (1,1) estimation issue
No promises, but you could try posting your workfile.
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