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st: conditioning reset at each gap, arch garch

From   "Koksal, Bulent" <[email protected]>
To   [email protected]
Subject   st: conditioning reset at each gap, arch garch
Date   Thu, 17 Jan 2008 08:10:46 +0200

 I have daily return data and want to estimate a garch(1,1) model as below.

.arch r, arch(1) garch(1) het(d1990) nolog

Number of gaps in sample:  427
(note: conditioning reset at each gap)

What does "conditioning reset at each gap" exactly imply?
When I generated a new time variable with
.egen t=fill (1 2)

and used this linear variable as the time variable, I don't get
"conditioning ..."  message and the results are a little different.

I have daily data. Should I use the "daily date variable" or the t
above for my time variable?

Thanks for any help.

Bülent Köksal

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