1
$\begingroup$

Hellow everyone, I'm new here. Please instruct me to do something.

My problem is when I run FIGARCH(0,d,1), OxEdit still show me a matrix with variable names, coefficient, s.e, t-stat... like this

enter image description here

But when I try FIGARCH(1,d,2) it show nothing but coefficient parameters, like this

enter image description here

So please instruct me how to show the other stats.

Furthermore, please instruct me how to run G@rch6 package in R via function GarchOxFit, because this function is no longer supported but Mr. Brian in this topic show that R can run G@rch6.

I much appreciate your help. Thank you.

$\endgroup$
1
$\begingroup$

Regarding your first question, as it is written in your example, the FIGARCH(1,d,2) estimation fails due to "no convergence" : ie the quasi Maximum Likelihood Estimation Method fails to obtain stable parameters via the maximization of the likelihood and so you can't get parameters for this specification (neither other stats). The QMLE method does not always get result.

$\endgroup$

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Not the answer you're looking for? Browse other questions tagged or ask your own question.