2010/11/1 Riccardo (Jack) Lucchetti <r.lucchetti@univpm.it>

On Mon, 1 Nov 2010, Henrique Andrade wrote:

Dear Riccardo,

I'm trying the following command (with daily data):

include gig.gfn
list X = const l_crb l_cds l_camb_us l_difjur
list Z = const dummy_iof
matrix results = garchTFit(l_camb,1,1,X,Z)
gig_print(results)

And I'm getting these results:

Model: GARCH(1,1) [Bollerslev] (Student's t)
Sample size: 1148 observations, VCV method: Robust

   *************************************************
   *           ESTIMATION FAILED (Sorry!)          *
   *           Error code =   33                   *
   *************************************************

What does "Error code = 33" mean?

BFGS failed to find a maximum. Yeah, I know. Error messages is one of the things to do.

Riccardo (Jack) Lucchetti
Dipartimento di Economia
Università Politecnica delle Marche

r.lucchetti@univpm.it
http://www.econ.univpm.it/lucchetti

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