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Thanks Trubador!! You've been extremely helpful and thank you for being so patient!

Trubador - I'm still getting the same problem. I've hit a brick wall with this, I'm not sure how to get it working. Is there anything else you suggest I could do? I have replaced my initial values equation as suggested and multiplied my Y series by 100. Multiplying the Y series by 100 gives me a muc...

@Trubador - I've tried various arbitrary numbers and it still isn't working. I'm trying to replicate a paper at the moment and I put the starting values very close to the answer and I'm still coming up with the same error message.

I'm not sure how to proceed.

Thanks for the reply Trubador - I know the result can be biased based on what the starting value is as it will find the local minimum/maximum (from my knowledge). That's why I tried to give it starting values based on the GARCH-M without the interaction to generate the closest starting values. Could...

Hi, I'm trying to write a program for a GARCH-M with an additional interaction term (Y(-1)*GARCH). I'm having 2 problems - my first is that I'm getting missing values in @LOGL series and my second is, I'm not sure if I wrote the program right. Could I get some help with this? I've attached my code: ...