Advanced rolling regression-Add-in

[EconomicResearcher]

The attachment RoollingGARCH-2.PNG is no longer available

Hi everyone. I’m trying to estimate GARCH(1,1) model with conditional normal distribution and where the mean equation includes a constant only. My sample includes 2519 observations of an equity index returns. I estimated the original equation using 1800 observations and named it eq01. I want to use fixed window size of 1800 observations with 1 step size.
I wrote the following code in the command in the command line
eq01.roll
I got a dialog box entitled “Rolling Specification and Storage Options” which I filled it in with my data


When I hit ok, I got an error message saying “Invalid or out of range) coefficient or matrix index 3”.
Can anyone help me to overcome this error message?

[terrya]

Hi

I've just run the advanced rolling regression option on a garch(1,1) model without any hitch other than EViews adjusting the endpoint (to be expected as I took the defaults). I haven't bothered to look at the coeffs as I was only interested in whether it would work.

Perhaps you aren't following the instructions accurately.