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!!!
Leave a comment: