ARCH/GARCH error

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biba_213
Posts: 1
Joined: Mon Feb 08, 2016 2:34 pm

ARCH/GARCH error

Postby biba_213 » Sun Feb 14, 2016 12:17 am

I'm new to Eviews and I would really appreciate any advice you guys could give me.

I am collecting daily data on stock prices, bond yields and exchange rates and I want to use the GARCH for volatility. My sample is irregular because of breaks, holidays etc. I read in a different topic to regulate it with undated ID series when I import the workfile in Eviews and I did that.
However, when I try to run the ARCH test it gives me error: Error in Sample: Illegal date 1/6/2014 and when I try to run a GARCH it returns the error ARCH estimation requires a continuous sample. It returns the same error for irregular sample, which is understandable.

Can someone please explain why this is happening, considering that I already transferred it into a "regular" sample?
I checked for missing values in the data, but I cannot find anything.

I am using Eviews 9.

Any ideas where am I going wrong?

Many thanks in advance

EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
Posts: 13604
Joined: Tue Sep 16, 2008 5:38 pm

Re: ARCH/GARCH error

Postby EViews Gareth » Sun Feb 14, 2016 5:46 pm

We'd need to see the workfile.


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