[Gretl-users] Convergence is not met

Wednesday, 11 January 2006

when i estimate the garch parameter of cj stock price during 1 year data
using gretl and R.

 IN Gnu-R.
...
 garch(x,c(1,1)) 
 ***** ESTIMATION WITH ANALYTICAL GRADIENT *****

     I     INITIAL X(I)        D(I)

     1     0.389259E-03     0.100E+01
     2     0.500000E-01     0.100E+01
     3     0.500000E-01     0.100E+01

    IT   NF       F        RELDF    PRELDF    RELDX   STPPAR   D*STEP
NPRELDF

     0    1 -0.830E+03
     1    8 -0.830E+03  0.43E-06  0.95E-06  0.1E-04  0.8E+09  0.1E-05
0.36E+03
     2   18 -0.831E+03  0.13E-02  0.22E-02  0.5E+00  0.2E+01  0.1E+00
0.20E+00
     3   21 -0.835E+03  0.48E-02  0.43E-02  0.7E+00  0.1E+01  0.4E+00
0.63E-01
     4   23 -0.836E+03  0.19E-02  0.13E-02  0.4E-01  0.2E+01  0.4E-01
0.80E-01
     5   26 -0.839E+03  0.27E-02  0.31E-02  0.9E-01  0.2E+01  0.1E+00
0.13E+01
     6   27 -0.839E+03  0.88E-03  0.26E-02  0.8E-01  0.2E+01  0.1E+00
0.31E+00
     7   36 -0.840E+03  0.50E-03  0.12E-02  0.6E-05  0.4E+01  0.8E-05
0.74E-02
     8   37 -0.840E+03  0.29E-04  0.28E-04  0.5E-05  0.2E+01  0.8E-05
0.37E-02
     9   38 -0.840E+03  0.36E-06  0.18E-05  0.5E-05  0.2E+01  0.8E-05
0.35E-02
    10   46 -0.841E+03  0.11E-02  0.19E-02  0.5E-01  0.8E+00  0.7E-01
0.35E-02
    11   48 -0.843E+03  0.22E-02  0.22E-02  0.4E-01  0.9E+00  0.7E-01
0.15E-01
    12   50 -0.846E+03  0.41E-02  0.46E-02  0.7E-01  0.1E+01  0.1E+00
0.73E-01
    13   52 -0.847E+03  0.14E-02  0.19E-02  0.2E-01  0.2E+01  0.5E-01
0.11E-01
    14   53 -0.848E+03  0.14E-02  0.16E-02  0.2E-01  0.2E+01  0.5E-01
0.10E-01
    15   55 -0.849E+03  0.23E-03  0.29E-03  0.3E-02  0.2E+01  0.5E-02
0.57E-02
    16   58 -0.849E+03  0.90E-03  0.15E-02  0.2E-01  0.1E+01  0.3E-01
0.67E-02
    17   60 -0.849E+03  0.55E-04  0.13E-03  0.4E-02  0.1E+01  0.1E-01
0.27E-03
    18   62 -0.849E+03  0.24E-05  0.57E-05  0.8E-03  0.8E+00  0.2E-02
0.91E-05
    19   64 -0.849E+03  0.11E-06  0.20E-05  0.3E-03  0.1E+01  0.7E-03
0.30E-05
    20   65 -0.849E+03  0.23E-06  0.38E-06  0.1E-03  0.9E+00  0.3E-03
0.69E-06
    21   78 -0.849E+03 -0.20E-12  0.48E-13  0.1E-13  0.2E+06  0.2E-13
0.23E-06

 ***** FALSE CONVERGENCE *****

 FUNCTION    -0.849489E+03   RELDX        0.114E-13
 FUNC. EVALS      78         GRAD. EVALS      21
 PRELDF       0.477E-13      NPRELDF      0.231E-06

     I      FINAL X(I)        D(I)          G(I)

     1    0.167570E-05     0.100E+01     0.188E+04
     2    0.630399E-01     0.100E+01     0.113E+01
     3    0.944707E+00     0.100E+01     0.364E+00

Call:
garch(x = x, order = c(1, 1))

Coefficient(s):
       a0         a1         b1
1.676e-06  6.304e-02  9.447e-01

Warning message:
NANs... in: sqrt(pred$e)

but in gretl

The convergence criterion was not met.

i read previous article 'convergence is not met'  and i know two assistence.

first. Includeing suitable indepedent variable...
  but i just want analysis only 245 data
second . transfomation
  this data already log-diffrential transformation. how can i saw a result.
not adjust includeing variable.

thank u for reading my dumb mail. i wait you warth answer... ^^;

<?xml version="1.0" encoding="UTF-8"?>
<!DOCTYPE gretldata SYSTEM "gretldata.dtd">

<gretldata name="CJ" frequency="1" startobs="1"
endobs="247"
type="cross-section">
<variables count="3">
<variable name="price"
 label="Stock Price"
 displayname="Stock Price"
/>
<variable name="Return"
 label="Return"
 displayname="Return"
/>
<variable name="x"
 label="x=obs"
/>
</variables>
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<obs>66900 0.007446 4 </obs>
<obs>67400 0.004441 5 </obs>
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</observations>
</gretldata>

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[Gretl-users] Convergence is not met