TomDoan wrote:It depends upon what "doesn't converge" means. If it didn't converge in the standard number of iterations without any nasty looking messages, then just increase the ITERATIONS option. If it gives you a message that the estimation stalled, then it's possible that you're trying to fit a GARCH model to a data set that isn't well explained by a GARCH model. If you can post the output that you're getting, I can probably help you more.

Hi, for my oil prices and sectoral stock market analysis, for two sectors i am getting no convergence issues. What should i do in this case ? Data is attached

Commands used:

garch(p=1,q=1,mv=bekk, pmethod=simplex, piters=10) / RIT RBRENT

garch(p=1,q=1,mv=bekk, pmethod=simplex, piters=10) / RMETAL RBRENT

I am using daily returns data .

MV-GARCH, BEKK - Estimation by BFGS

NO CONVERGENCE IN 71 ITERATIONS. FINAL NORMED GRADIENT 0.00003

ESTIMATION POSSIBLY HAS STALLED OR MACHINE ROUNDOFF IS MAKING FURTHER PROGRESS DIFFICULT

TRY DIFFERENT SETTING FOR EXACTLINE, DERIVES OR ALPHA ON NLPAR

RESTARTING ESTIMATION FROM LAST ESTIMATES OR DIFFERENT INITIAL GUESSES/PMETHOD OPTION MIGHT ALSO WORK

Usable Observations 993

Log Likelihood -3822.9895

Variable Coeff Std Error T-Stat Signif

************************************************************************************

1. Mean(RIT) 0.095281010 0.040286720 2.36507 0.01802655

2. Mean(RBRENT) 0.040053073 0.051438217 0.77866 0.43617784

3. C(1,1) 0.713492444 0.014909417 47.85516 0.00000000

4. C(2,1) -0.131400151 0.019148189 -6.86228 0.00000000

5. C(2,2) -0.139367607 0.019703816 -7.07313 0.00000000

6. A(1,1) 0.434163351 0.042347746 10.25234 0.00000000

7. A(1,2) 0.043712949 0.032439769 1.34751 0.17781568

8. A(2,1) -0.154098514 0.034545262 -4.46077 0.00000817

9. A(2,2) 0.174221263 0.017772214 9.80301 0.00000000

10. B(1,1) 0.760407569 0.015056796 50.50261 0.00000000

11. B(1,2) -0.001793662 0.006426949 -0.27908 0.78017994

12. B(2,1) 0.076636570 0.008542320 8.97140 0.00000000

13. B(2,2) 0.977216761 0.002635335 370.81315 0.00000000

MV-GARCH, BEKK - Estimation by BFGS

NO CONVERGENCE IN 79 ITERATIONS. FINAL NORMED GRADIENT 0.00000

ESTIMATION POSSIBLY HAS STALLED OR MACHINE ROUNDOFF IS MAKING FURTHER PROGRESS DIFFICULT

TRY DIFFERENT SETTING FOR EXACTLINE, DERIVES OR ALPHA ON NLPAR

RESTARTING ESTIMATION FROM LAST ESTIMATES OR DIFFERENT INITIAL GUESSES/PMETHOD OPTION MIGHT ALSO WORK

Usable Observations 993

Log Likelihood -4052.5506

Variable Coeff Std Error T-Stat Signif

************************************************************************************

1. Mean(RMETAL) 0.019665097 0.050183782 0.39186 0.69516047

2. Mean(RBRENT) 0.059342416 0.051294665 1.15689 0.24731626

3. C(1,1) -0.194495308 0.051952432 -3.74372 0.00018132

4. C(2,1) 0.172827697 0.028015758 6.16895 0.00000000

5. C(2,2) 0.000030214 0.310644711 9.72628e-05 0.99992240

6. A(1,1) 0.254330859 0.021985268 11.56824 0.00000000

7. A(1,2) 0.006438636 0.022886778 0.28133 0.77846068

8. A(2,1) -0.071780207 0.024196247 -2.96658 0.00301128

9. A(2,2) 0.165354566 0.005403083 30.60374 0.00000000

10. B(1,1) 0.956794227 0.007940352 120.49771 0.00000000

11. B(1,2) -0.003683154 0.003819523 -0.96430 0.33489716

12. B(2,1) 0.028917814 0.006399546 4.51873 0.00000622

13. B(2,2) 0.982374215 0.001702984 576.85457 0.00000000