Overflow when making residuals series
Posted: Sat Oct 21, 2017 6:18 am
Hi
I got an "overflow" message when making a residuals series from a bivariate E-GARCH-M with student's t distribution error for stock returns (first difference log). It does not happen to all pairs of countries in my sample, but only to some. In addition, when I play around with the model and change the specifications (e.g. use a general EGARCH with normal distribution errors - the issue disappears). I have read some posts about overflow errors in Eviews forum, but just want to double check is it because the estimated residuals from the initial model are getting too big? Does it mean the first model is not a good model for some countries?
Thanks in advance for your help.
Regards, Anh
I got an "overflow" message when making a residuals series from a bivariate E-GARCH-M with student's t distribution error for stock returns (first difference log). It does not happen to all pairs of countries in my sample, but only to some. In addition, when I play around with the model and change the specifications (e.g. use a general EGARCH with normal distribution errors - the issue disappears). I have read some posts about overflow errors in Eviews forum, but just want to double check is it because the estimated residuals from the initial model are getting too big? Does it mean the first model is not a good model for some countries?
Thanks in advance for your help.
Regards, Anh