Initial value for mvgarch model

[yli725]

Dear Tom,
I have some Convergence problem when I estimate a multivariate GARCH model, so I want to specify the initial value. I saw there is a method option "evaluate", but I do not know how to use that with initial.

First, I estimate a model use the code

Code: Select all

garch(p=1,q=1,model=var4,asymmetirc,distrib=t,mv=bekk,method=bhhh,iters=500,pmethod=simplex,piters=50,hmatrices=hh,rvectors=rd) / y1 y2 y3

Then ???

Code: Select all

garch(p=1,q=1,model=var4,asymmetirc,distrib=t,mv=bekk,method=evaluate,initial=??? iters=500,pmethod=simplex,piters=50,hmatrices=hh,rvectors=rd) / y1 y2 y3

I am a new user of Rats, thank you for your kindly help!

[TomDoan]

Dear Tom,
I have some Convergence problem when I estimate a multivariate GARCH model, so I want to specify the initial value. I saw there is a method option "evaluate", but I do not know how to use that with initial.

First, I estimate a model use the code

Code: Select all

garch(p=1,q=1,model=var4,asymmetirc,distrib=t,mv=bekk,method=bhhh,iters=500,pmethod=simplex,piters=50,hmatrices=hh,rvectors=rd) / y1 y2 y3

Then ???

Code: Select all

garch(p=1,q=1,model=var4,asymmetirc,distrib=t,mv=bekk,method=evaluate,initial=??? iters=500,pmethod=simplex,piters=50,hmatrices=hh,rvectors=rd) / y1 y2 y3

I am a new user of Rats, thank you for your kindly help!

Changing the guess values is rarely a help. I would suggest reducing the number of simplex iterations (10-15 is usually enough) and switching from BHHH to BFGS.