About the MLE example for GARCH
by yinung CYCU
Dear all:
I am a new user of gretl.
I have a question about the MLE example for estimating GARCH on page 118 of
the gretl user guide (chapter 17).
I tried the script as shown in what follows ( scalar beta was changed to 0.5
):
========the MLE script===================================
open djclose
series y = 100*ldiff(djclose)
scalar mu = 0.0
scalar omega = 1
scalar alpha = 0.4
scalar beta = 0.5
mle ll = -0.5*(log(h) + (e^2)/h)
series e = y - mu
series h = var(y)
series h = omega + alpha*(e(-1))^2 + beta*h(-1)
params mu omega alpha beta
end mle
===========================================
and the results are:
=========MLE GARCH results==================================
Using numerical derivatives
Tolerance = 1.81899e-012
Function evaluations: 60
Evaluations of gradient: 14
Model 1: ML estimates using the 2526 observations 80/01/04-89/12/29
ll = -0.5*(log(h) + (e^2)/h)
Standard errors based on Outer Products matrix
PARAMETER ESTIMATE STDERROR T STAT P-VALUE
mu 0.0601181 0.0200846 2.993 0.00276 ***
omega 0.724952 936411 0.000 1.00000
alpha 0.238901 0.00594764 40.167 <0.00001 ***
beta 0.132664 701184 0.000 1.00000
Log-likelihood = - 1370.26
Akaike information criterion (AIC) = 2748.53
Schwarz Bayesian criterion (BIC) = 2771.86
Hannan-Quinn criterion (HQC) = 2757
===========================================
and I found the results are different from what estimated by using the
default GARCH estimation , i.e., \Model\Time series\GARCH, in which I got
(as attached below)
I've tried several combinations of initial values for mu, omega, alpha
and, beta. But the results are basically similar.
How can I get closer results from MLE as those from the default GARCH
estimation?
Many thanks
Yi-Nung Yang
====the results from the default GARCH
=======================================
Function evaluations: 75
Evaluations of gradient: 17
Model 2: GARCH estimates using the 2527 observations 80/01/03-89/12/29
Dependent variable: y
Standard errors based on Hessian
VARIABLE COEFFICIENT STDERROR T STAT P-VALUE
const 0.0700980 0.0184927 3.791 0.00015 ***
alpha(0) 0.0483241 0.0114087 4.236 0.00002 ***
alpha(1) 0.0917793 0.0109744 8.363 <0.00001 ***
beta(1) 0.869729 0.0179295 48.508 <0.00001 ***
Mean of dependent variable = 0.047711
Standard deviation of dep. var. = 1.15563
Unconditional error variance = 1.25546
Log-likelihood = -3568.13
Akaike information criterion (AIC) = 7146.26
Schwarz Bayesian criterion (BIC) = 7175.44
Hannan-Quinn criterion (HQC) = 7156.85
===========================================
18 years
- 2
- 3
crash after RESET test in GUI
by rwarekw＠poczta.onet.pl
I have just installed gretl 1.6.5 on my Ubuntu 6.12 (previously 1.5 and windows versions) and it seems to be working ok but the RESET test in GUI. After estimation in console i can use RESET, but when estimating a model in GUI and clicking RESET it crashes. That's the message:
-cit-
arkadiusz@ubu:~$ gretl
old read_rc
setlocale(LC_NUMERIC, "pl_PL.UTF-8") returned pl_PL.UTF-8
get_gretl_charset gave (null)
Wczytano plik danych /media/hda1/Documents and Settings/Arkadiusz/Moje dokumenty/gretl/stac1.gdt
okresowo¶æ: 4, maksymalna liczba obserwacji: 204,
zakres obserwacji: 1950:1-2000:4
*** stack smashing detected ***: /usr/bin/gretl_x11 terminated
Aborted
-endcit-
'stack smashing detected' appears after running RESET under GUI.
Best regards,
Arek
18 years
- 3
- 4