Here is an unexpected feature I encountered in gig. The model is ARCH(1) with a constant mean. This script works: <> # Using GIG include gig.gfn open djclose model_arch = gig_setup(djclose,0,const) gig_set_pq(&model_arch,0,1) gig_estimate(&model_arch) <\> This may be by design, but I find it a little confusing. I would think that arch(1) might be a default if model=zero is chosen? But, if you omit the gig_set_pq, which sets garch to zero and arch to 1, the script bombs. I thought, mistakenly, that choosing model=0 in setup would not require setting pq via gig_set_pq. Note, the following script, won't work: <> # Using GIG include gig.gfn open djclose model_arch = gig_setup(djclose,0,const) gig_estimate(&model_arch) <\> What do you think? -- Lee Adkins Professor of Economics lee.adkins(a)okstate.edu learneconometrics.com