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| From | Yannick Goetschel <yannick.goetschel@hotmail.com> |
| To | <statalist@hsphsun2.harvard.edu> |
| Subject | st: ARCH |
| Date | Sun, 22 May 2011 21:54:03 +0100 |
HI I am currently investigating the link between a particular stock y and the market index, S&P 500. I am trying to apply the ARCH model but I end up with the following message. "flat log likelihood encountered, cannot find uphill direction". I really dont know what to do. Any advice would be greatly appreciated. what ive done: reg dly dlsap estat archlm, lags(1) arch dly dlsap, arch(1) garch(1) Kind regards, Yannick * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/