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Dear Trubador, Thank you for your explanation. 1) Though this might 'hurt' the information contained by the data, couldn't I just remove the 2 outliers and apply dummies for the clusters? 2) Indeed I apply two steps, first check for cointegration and accordingly estimate a VEC model on the 2 series,...

Hi everyone, Does any one have an idea how to deal with the error described above? The problem seems to be in either one of the two lines containing: "equation eq1.arch(m=100,c=1e-5) y1 c", what does m=100 mean? I currently have some 750 obs, is that too few for a bv GARCH? I still did not...

Dear Gareth, Thank you for your reply. I uploaded the relevant part of my workfile. There are 6 series, for each two markets: a bid series per day, a squared return series and the residual series of a VEC M on the squared return series. I´d like to make a B GARCH M on the latter ones using the code ...

Dear Eviews forum operators, While estimating an bivariate GARCH in Eviews 6 I run into the following error: "Insufficient number of observations" This occurs when the program is in line "equation eq1.arch....". I think the problem is in the starting values the program defines, b...

Dear Eviews veterans, Using Eviews 6 I ran into the error "Unsufficient number of observations to estimate 9 coeficients per equation in VAR" while trying to estimate a VAR. My data concerns multiple quotes per second for two hypothetical exchanges. I took the data from the NYSE TAQ databa...

Dear all, Could anyone give some suggestions how to solve the following problem I got in Eviews (version 3.1 at home, 5 at the university) I need to estimate an ARMA-model for volatility. As there are some periods with huge (abnormal) volatility I created a dummy which should now be incorporated in ...