mgarch code

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hl545
Posts: 9
Joined: Thu Aug 27, 2009 7:57 am

mgarch code

Postby hl545 » Fri Sep 28, 2012 4:31 am

Hi, I am a newer Eviews programming user. I want to estimate a multivariate garch in mean model but my code seems not working. The error message says "overflow". I checked my code several times but it seemd ok. Is it because of the data themselves not fitted or there are some bugs in the code.

atached is the Eviews files.
thanks,
Attachments
my code bekk.prg
My code
(8.61 KiB) Downloaded 397 times
datauk6ff (dnq).wf1
Data used
(25.37 KiB) Downloaded 263 times
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EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
Posts: 13603
Joined: Tue Sep 16, 2008 5:38 pm

Re: mgarch code

Postby EViews Gareth » Fri Sep 28, 2012 7:09 am

The starting values are bad. EViews is unable to achieve good convergence in the univariate ARCH model used for starting values. You could try using other starting values.
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hl545
Posts: 9
Joined: Thu Aug 27, 2009 7:57 am

Re: mgarch code

Postby hl545 » Fri Sep 28, 2012 7:14 am

Thanks very much! For the starting values, I followed the previous examples. Could you possibly suggest me some good starting values or how do I do to make some?
thanks,
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