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GARCH (1,1) estimation issue

Posted: Fri May 04, 2012 10:34 am
by Schijthoos
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!

Re: GARCH (1,1) estimation issue

Posted: Fri May 04, 2012 1:46 pm
by EViews Glenn
Probably starting values. Do a forum search for starting values.

Re: GARCH (1,1) estimation issue

Posted: Sat May 05, 2012 6:15 am
by Schijthoos
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!

Re: GARCH (1,1) estimation issue

Posted: Tue May 08, 2012 10:35 am
by EViews Glenn
No promises, but you could try posting your workfile.