On Sun, 29 Nov 2009, Allin Cottrell wrote: > ;-) This is a subtle bug (if it's a bug; I'm not sure) with an > easy workaround. With the initialization > > scalar alpha = 0.4 > scalar beta = 0 > > The "check" condition -- alpha>0 && beta>0 -- is violated on the > first iteration. Therefore the formula for "ll" comes down to > > ll = NA > > This generates a scalar value, which is not allowed in the mle > context. The fix is to initialize such that the check is > satisfied on the first round, e.g. > > scalar beta = 0.001
Not really relevant here, but the constraints on alpha and beta in a garch(1,1) model are not exactly the same. Alpha needs to be strictly positive (otherwise the model is unidentified), but beta can be 0, so initialising it at 0 is perfectly legitimate. The check should be written as (alpha>0) && (beta>=0). Sorry for being pedantic. Riccardo (Jack) Lucchetti Dipartimento di Economia Università Politecnica delle Marche r.lucchetti(a)univpm.it http://www.econ.univpm.it/lucchetti
