diff --git a/src/NumericalInitialization.cc b/src/NumericalInitialization.cc
index 88a0a9cb8c65b26f25ac7b6354a58a79635d866d..b7298cbec10b28e52fbb106f6b796586b903359a 100644
--- a/src/NumericalInitialization.cc
+++ b/src/NumericalInitialization.cc
@@ -380,7 +380,8 @@ HistValStatement::writeOutput(ostream &output, const string &basename, bool mini
   output << "if exist(['+' M_.fname '/dynamic_set_auxiliary_series'])" << endl
        << "  eval(['M_.histval_dseries = ' M_.fname '.dynamic_set_auxiliary_series(M_.histval_dseries, []);']);" << endl
        << "end" << endl
-       << "M_.endo_histval = M_.histval_dseries{M_.endo_names{:}}(dates(sprintf('%dY', 1-M_.maximum_lag)):dates('0Y')).data';" << endl;
+         << "M_.endo_histval = M_.histval_dseries{M_.endo_names{:}}(dates(sprintf('%dY', 1-M_.maximum_lag)):dates('0Y')).data';" << endl
+         << "M_.endo_histval(isnan(M_.endo_histval)) = 0;" << endl; // Ensure that lead aux variables do not have a NaN
 
   if (symbol_table.exo_nbr() > 0)
     output << "M_.exo_histval = M_.histval_dseries{M_.exo_names{:}}(dates(sprintf('%dY', 1-M_.maximum_lag)):dates('0Y')).data';" << endl;