ARCH/GARCH error
Posted: 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
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