GARCH Error: Econometrics Toolbox

I have a data set representing a time series (it has about 4000 observations). I would like to use the Econometrics Package's garch() function to estimate a GARCH model for this data. However, when I try to do so, I get this error:

 Warning: Upper bound constraints are active; standard errors may be inaccurate. 
> In garch.estimate at 794 
Warning: Error in calculation of parameter covariance matrix. Matrix of NaN's returned. 
> In garch.estimate at 845 

    GARCH(1,1) Conditional Variance Model:
    ----------------------------------------
    Conditional Probability Distribution: Gaussian

                                  Standard          t     
     Parameter       Value          Error       Statistic 
    -----------   -----------   ------------   -----------
     Constant            NaN           NaN            NaN
     GARCH{1}            0.9           NaN            NaN
      ARCH{1}           0.05           NaN            NaN
       Offset            Inf           NaN            NaN

Obviously, the model is wrong. How can I fix it?

Answer 1

[Hang Qian]

You might consider adding a mean equation, say an AR(p) process, to your model, as I saw the “Offset” term is Inf and the “Constant” term is NaN.