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Hi there ,

I am try to use the example program on the web call bv_garch.prg to run the BEKK Garch estimation for two series stock and bonds. When execute the program it gives me error message: saying " ARCH estimation must have continous sample". I don't undestand what it means, since the series have equivalent observations period. Please assists.

That error message means that you either have NAs in your data somewhere, or that you have the current sample set to be a non-continuous sample.