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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?

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.