GARCH (1,1) estimation issue

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Schijthoos
Posts: 2
Joined: Fri May 04, 2012 10:22 am

GARCH (1,1) estimation issue

Postby Schijthoos » Fri May 04, 2012 10:34 am

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!

EViews Glenn
EViews Developer
Posts: 2530
Joined: Wed Oct 15, 2008 9:17 am

Re: GARCH (1,1) estimation issue

Postby EViews Glenn » Fri May 04, 2012 1:46 pm

Probably starting values. Do a forum search for starting values.

Schijthoos
Posts: 2
Joined: Fri May 04, 2012 10:22 am

Re: GARCH (1,1) estimation issue

Postby Schijthoos » Sat May 05, 2012 6:15 am

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!

EViews Glenn
EViews Developer
Posts: 2530
Joined: Wed Oct 15, 2008 9:17 am

Re: GARCH (1,1) estimation issue

Postby EViews Glenn » Tue May 08, 2012 10:35 am

No promises, but you could try posting your workfile.


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