[Gretl-users] CARR model MLE

Dear fellow users, I am trying to write a script for MLE estimation of a CARR model, similar to GARCH. It is a MEM model in daily ranges of some instrument, i,e, Eq. 1: lRng = lambda * epsilon # epsilon is exponentially distributed here, giving the shape of LL Eq. 2: lambda = a + b*Rng(-1) + c*lambda(-1) I tried the following code but the algorithm never converges. What should I improve? Thanks in advance, Daniel scalar a = 0.1 scalar b = 0.4 scalar c = 0.4 mle ll = -ln(lambda) + Rng/lambda series lambda = mean(Rng) series lambda = a + b*Rng(-1) + c*lambda(-1) params a b c end mle