On Sun, 25 Dec 2005, sudip mukherjee wrote:
Everytime I try to run the GARCH model from the menu
(model/time series/garch) it gives me an error message
"convergence criterion not met". I tried several
different data series but i get the same message
everytime. What am i doing wrong. Pl advise.
Bear in mind that closed form estimators for GARCH models do not exist, so
estimation must be carried out by means of numerical maximisation. For
more detail, see chapter 10 of the gretl guide at
The algorithm we use for assessing convergence in GARCH models is rather
picky, I am afraid. You might want to have a look at the discussion that
took place in the list about 1 year ago on a very near subject:
Other packages sometimes print out "estimates" even when a form of
convergence we deem acceptable hasn't occurred.
My very personal opinion, however, is that the garch module needs to
undergo serious revisions, though I also believe this is not the most
urgent thing in our todo list.
Riccardo `Jack' Lucchetti
Dipartimento di Economia
Università Politecnica delle Marche