On Mon, 17 May 2010, Davor Horvatic wrote: > What heppend in Gretl 1.9.0 on relation to GIG > > http://www.shakty.org/code/sw.php?section=gig > > I'm getting this error and before all worked all right: > > ? matrix results=gjrFit(rr1,1,1,null,null,1,2) > > Proceeding with GJR by Glosten estimation. > > Data error > error in function aparchFilter > > tmp_ae = tmp_ae - filter( e, gvec) > error in function aparch > > end mle > error in function garchmle > > ret = aparch(depVar, meanRegressors, varRegressors, lagOrders, > garchInit, target, distrType, verbose, vcv) > error in function gjrFit > > matrix ret = garchmle(depVar, alphaLag, betaLag, 3, null, 0, null, > meanRegressors, varRegressors, verbose, vcvtype)
Could you send me your script and your dataset? The sooner I'm able to replicate the problem, the better. Riccardo (Jack) Lucchetti Dipartimento di Economia Università Politecnica delle Marche r.lucchetti(a)univpm.it http://www.econ.univpm.it/lucchetti
