I am attaching the data set. The
data set contains daily return series (called ?Variable?). There are more than
3900 data points in the series.
Let me again mention that, we could
run GARCH, EGARCH and FIEGARCH models on this data set. But, when we give the
FIGARCH command [Pjohn.figarch= fgarch(data.file.Pjohn[["Variable"]]~1+ma(1),~figarch(1,1))], we get the following message
?Initializing model
parameters.
Iteration
No. 1:
log-likelihood=10805.156171
Routine aborted. Try rescaling the
series or a different initialization.?
However, when we use FIEGARCH command[Pjohn.fiegarch= fgarch(data.file.Pjohn[["Variable"]]~1+ma(1),~fiegarch(1,1), leverage=T)], we get the following
output:
?Initializing model
parameters.
Iteration
No. 1:
log-likelihood=10784.179192
Iteration
No. 2:
log-likelihood=10799.276870
???????
Iteration
No. 18:
log-likelihood=10809.027524
Iteration
No. 19:
log-likelihood=10809.027524
Convergence in function
value.?
Thus, the FIEGARCH model could
converge, whereas, FIGARCH iteration got aborted after first iteration. We could
not find out the reason for this. Can you help?
Alternatively, are you aware of any
statistical software that can model FIGARCH and SV ? We
urgently require this information so that we can finish our
research.
Waiting for your quick
response.
Bikash
Jain