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

On Tue, 26 Oct 2004, Blaise Roncagli wrote: > 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 Thanks very much for the sample data. I wonder if perhaps there is an issue of conversion of the data from Excel -- in particular, if missing values are being handled correctly by gretl. I'm attaching a version of the data in gretl format. My findings are * ARMA(1,1) works OK for both series * GARCH(1,1), using the current CVS code, works for NASDAQ, but not for TBILL3 Looking at a time series plot of TBILL3, I'm not surprised that a univariate GARCH routine has a hard time (in fact, I'm quite surprised that R could produce estimates). The huge spike in the T-bill rate in the early 1980s just doesn't look like a case of conditional heteroskedasticity. But I'll try running R on the data tomorrow. For Windows, you can get a current snapshot, which is close to the final 1.3.0 release, at ftp://ricardo.ecn.wfu.edu/pub/gretl/gretl_install.exe Allin Cottrell ------------------------------------------------------------------------ Name: blaise.gdt blaise.gdt Type: Plain Text (TEXT/PLAIN) Encoding: BASE64