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
Thanks for your time and assistance.
- Blaise Roncagli
Allin Cottrell wrote:
On Mon, 25 Oct 2004, Blaise Roncagli wrote:
> I am a new user to Gretl, and am using version 1.2.9. I have noticed
> that frequently when I attempt to run an ARMA or GARCH model I get a
> message "Convergence Criteria not met". I know what this means, but it
> seems to happen frequently with data sets that do not experience this
> problem when I use them in "R" or other packages. Is this a known
> problem, or is there some parameter I need to adjust to make this go
It is a known problem with gretl's GARCH function, and I think it is
fixed for the forthcoming version 1.3.0. In the meantime you should
be able to work around the problem by defining a new variable that
is a scaled version of the original dependent variable (call it Y):
genr s = sd(Y)
genr Yscale = Y/s
then run GARCH on Yscale.
As for ARMA, I'm not so sure. Could you send me an example of a
data file that is processed OK by R but not gretl? That would be
helpful in troubleshooting. Thanks.