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Hi,

I'm asked to perform a GARCH model of excess return of sp500 ranging from 2003M01 to 2013M12.

I got my ARMA model with 2 dummy variables. The independent variables are: dum01 dum02 AR(1) MA(1) MA(2) MA(6). dum01=1 from 2003 to 2007. dum02=1 from 2008 to 2009.

But when I tried to estimate a GARCH(1,1)-M model adding variance in the mean equation, all fitted value after2004M01 were NA. I re-estimated the model without dummy variables and everything seemed fine. Is there any difference between with and without dummy variables when performing a GARCH model ?

Besides, could anyone tell me whether the information table below the equations indicates the information of the mean equation or the variance equation in a ARCH/GARCH output window?

Thank you very much for any help.

We'd need to see the workfile.

The summary statistics are for the mean equation.

We'd need to see the workfile.

The summary statistics are for the mean equation.

Hi Gareth,

Here is my workfile. https://www.dropbox.com/s/u2p9qkuxulavf ... 4.wf1?dl=0 The problem is in the equation "variance_in_mean".

Thanks a lot.

What did you do that resulted in NA fitted values?

What did you do that resulted in NA fitted values?

I went to Quick-Estimate Equation, then selected ARCH method. Line in the mean equation window was "ex_rt c dum01 dum02 AR(1) MA(1) MA(2) MA(6)". ARCH-M was "variance". For the variance section, model was GARCH/TGARCH. Order: ARCH 1, GARCH 1. Then just clicked "OK" I didn't change anything else.

And where did you see the NAs?

When the equation came out, I checked the "Resids" and the figure was weird so I went to "Actual, Fitted, Residual Table" and found those NAs.

What is the build date of your copy of EViews? You can view it under Help->About EViews.

The built date of the copy in my computer is 30 Jun 2011. It's Eviews 7.2. I also tried Eviews 8 in a computer in the school computer lab and it gave the same NAs. But I can't get the built date of that copy right now.

You should update your copy to the latest version.

When I take the steps you take, I receive perfectly normal looking results.

OK, I'll try it again from the very start in a school's computer to see if I can get a normal result. Thank you very much, Gareth.

BTW, could you give me the workfile which you got a good result with? Thanks.