Re: [Gretl-users] Problem with convergence of ARMA and GARCH models

Thanks for the quick response. I have attached a dataset called "sampledata.xls" that contains the following returns time series data: NASDAQ, TBILL3 (3-month US treasury Bills). When running ARMA(1,1) and GARCH(1,1) models on this data using Gretl 1.2.9 (build date 7/23/2004) on the PC platform I get the following results: NASDAQ: ARMA - no convergence, GARCH - runs OK TBILL3: ARMA - no convergence, GARCH - no convergence Note that I have not yet scaled these as you recommended, but I will try that. I thought these might be good tests for your new release version, which you say you have fixed. I have run these in R, and they do converge. By the way, when will the new version 1.3.0 be released for the PC platform? We are using Gretl in a graduate course in Finance and both the students and Professor would be very interested in the new version. Right now, we use Gretl whenever we can, but these convergence problems have forced us to use R or Eviews for some of our assignments, though Gretl is the preferred tool. I would be happy to relay to the class the information that a new release is imminent. Thanks for your time and assistance. - Blaise Roncagli Allin Cottrell wrote: