What heppend in Gretl 1.9.0 on relation to GIG
http://www.shakty.org/code/sw.php?section=gig
I'm getting this error and before all worked all right:
? matrix results=gjrFit(rr1,1,1,null,null,1,2)
Proceeding with GJR by Glosten estimation.
Data error
error in function aparchFilter
> tmp_ae = tmp_ae - filter( e, gvec)
error in function aparch
> end mle
error in function garchmle
> ret = aparch(depVar, meanRegressors, varRegressors, lagOrders,
garchInit, target, distrType, verbose, vcv)
error in function gjrFit
> matrix ret = garchmle(depVar, alphaLag, betaLag, 3, null, 0, null,
meanRegressors, varRegressors, verbose, vcvtype)
Could you send me your script and your dataset? The sooner I'm able to
replicate the problem, the better.
Riccardo (Jack) Lucchetti
Dipartimento di Economia
Università Politecnica delle Marche
r.lucchetti(a)univpm.it