Re: [Gretl-users] Question about GARCH
On Fri, February 17, 2006 19:02, ohinata manabu wrote:
I am currently using Gretl to run GARCH model for volatility of
daily
return of IBM stock estimation.
However, I can't match the result from gretl and the GARCH formula.
What I know is: ht=$B&X!\&A!J#r!]#m!K(B^2$B!\&B&R(B^2
But, what I got is:
Variable Coefficient
const 0.000553614
alpha(0) 9.90527e-06
alpha(1) 0.108505
beta(1) 0.879647
Mean of dependent variable = 9.79994e-005
Standard deviation of dep. var. = 0.0244575
Unconditional error variance = 0.000836019
Log-likelihood = 2387.036
AIC = -4764.073
BIC = -4739.534
I think $B&A(B(0) is $B&X(B.
But I don't know which is ht and what does const mean.
Thank you for your help.
Have a good weekend.
By default gretl estimates a model where the conditional mean is constant, so
"const" is the estimate of m in the following pair of equations:
y_t = m + e_t
V(e_t) = h_t = alpha_0 + alpha_1 * e_{t-1}^2 + \beta_1 h_{t-1}
note that V(e_t) should be read as the *conditional* variance of e_t.
In your example, the estimate for m is 0.000553614 and so on.
--
Riccardo "Jack" Lucchetti
Dipartimento di Economia
Facoltà di Economia "G. Fuà"
Ancona