Hello Allin, I humbly ask you for help with hopefully the last problem.
I would like to estimate an AR(1)-GARCH(1,1) model with T-distributed normalized residuals. I take the loglik function from http://faculty.chicagobooth.edu/jeffrey.russell/teaching/finecon/readings/glossary.pdf p15 and transform everything into code. # allRng[t] = c + a1*allRng[t-1] + e[t] scalar c = 0.1 scalar a1 = 0.1 # e[t] = h[t] * Student[t] # GARCH - h[t] = cg + ga*h[t-1] + arc*e^2[t-1] scalar cg = 0.1 scalar ga = 0.1 scalar arc = 0.1 scalar dof = 4 mle ll = log(gammafun((dof + 1)/2)) - log(gammafun(dof/2)) - 0.5*log(dof-2) - log(h) # - 0.5*(dof + 1)*log(1 + (dof - 2)^(-1)*h^(-2)*e^2) series e = 0 series e = allRng - c - a1*allRng(-1) #AR1 process series h = var(allRng) series h = cg + ga*h(-1) + arc*(e(-1))^2 # GARCH(1,1) params c a1 cg ga arc dof end mle You may have noticed a comment mark on the "mle ll=" line. This is where the error happens. I receive an error message telling me "The variable ll is of type scalar". The error disappears when I move the comment mark in front of the log(h) element. I looked into other MLE estimates of garch using gretl on the web, some of my own MLE estimates using gretl and I just cant figure out what the problem is here. Thank you in advance, Daniel
