Dear,

My name is Carlos and I'm starting to program in Ox. I'm trying sumular a model GARCH (p, q) but I can not make it run, an error that I am not able to take, if any of you can give me some help I will thank. Follow the code.

Thank you.

Here the error messages.

'p' expression must be constant

'q' expression must be constant

# include <oxstd.h>

// Step 1: Simulated univariate GARCH

garchsimul (nobs, coeff, p, q)   {

decl r, sigma2, e, d, i;

r = sigma2 = zeros(1,nobs);

d = max(p,q);

e = rann(1,nobs) ;

sigma2[0][0:d] = coeff[0]/(1-sumr(coeff[1:])) ;

  r[0][0:d] = sqrt(sigma2[0][0])*e[0][0:d];

     for (i = (d+1); i < nobs; ++i) {

     sigma2[0][i] = coeff * (1 | r[0][i - <1:p>]^2 | sigma2[0][i - <1:q>]) ;

          r[0][i] = sqrt(sigma2[0][i])*e[0][i] ;

 

     }

return r' ~ sigma2';

}

main(){

decl nobs, coeff, garch1, garch2, e, p, q;

     nobs = 10;

     coeff = <0.01,0.15,0.82>;

p = 1;

q = 1;

garch1 = garchsimul(nobs,coeff,p,q);

garch2 = garchsimul(nobs,coeff,p,q);

print(garch1);

print(garch2);

}

Carlos Trucíos Maza
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