12-07-2013 04:49 PM
I'm estimating an Exponential GARCH model, however, the EGARCH parameter is too high(0.995) and may not be a global maximum, is there anyway to restrict this parameter and get a different result? I used the restrict statement below and there was no results available for the EGARCH parameter?
proc autoreg data=MyData;
model Log_Yield = / garch=(p=1,q=1 , type = exp) initial=(1.6 0.01 0.07 0.1 0.01 0.01 5.47) maxiter=1000 converge=0.01 ;
hetero extravar1 extravar2 / coef=nonneg;
I did more research and realized that type=exp is not valid when Hetero is used. I hard coded the model and got an error message that my none of my observations are valid.
I already tried to specify different initial values and change convergence criteria and change the maximum number of iterations. Nothing seems to be working. Any advice is greatly appreciated!
12-09-2013 08:48 AM
I would recommend re-posting this in the Forecasting and Econometrics forum. It should draw the attention of some folks who know autoreg inside and out.