GARCH Error: Econometrics Toolbox

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RP
RP 2015-7-8
回答： Hang Qian 2015-7-28
I have a data set representing a time series (it has about 4000 observations). I would like to use the Econometrics Package's garch() function to estimate a GARCH model for this data. However, when I try to do so, I get this error:
Warning: Upper bound constraints are active; standard errors may be inaccurate.
> In garch.estimate at 794
Warning: Error in calculation of parameter covariance matrix. Matrix of NaN's returned.
> In garch.estimate at 845
GARCH(1,1) Conditional Variance Model:
----------------------------------------
Conditional Probability Distribution: Gaussian
Standard t
Parameter Value Error Statistic
----------- ----------- ------------ -----------
Constant NaN NaN NaN
GARCH{1} 0.9 NaN NaN
ARCH{1} 0.05 NaN NaN
Offset Inf NaN NaN
Obviously, the model is wrong. How can I fix it?

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回答（1 个）

Hang Qian
Hang Qian 2015-7-28
You might consider adding a mean equation, say an AR(p) process, to your model, as I saw the “Offset” term is Inf and the “Constant” term is NaN.

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