I am using a panel data of n=478 and t=1988-2014, daily data. I use GARCH model and loop code. Each time when running the regression, the following appears, can somebody please help me figure out?

my code is:

every time, the loop are stopped because of:

I tried different distribution (normal, t, ged), different garch model, like GARCH(1,1), EGARCH(1,1), OR EGARCH(1,2), all of them cannot work through all panel data.

P.S. I used code to drop missing data before doing the loop garch

I really grateful if someone could help me to address this problem.

Many thanks!!!

my code is:

Code:

forvalues i=1 (1) 478 { arch ut rmrf smb hml umd if id==i', earch(1) egarch(1) distribution(t) predict variance if id==i', variance replace var2=variance if id==`i' drop variance }

flat log likelihood encountered, cannot find uphill direction

P.S. I used code to drop missing data before doing the loop garch

I really grateful if someone could help me to address this problem.

Many thanks!!!

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