[Gretl-users] convergence of ARMA and GARCH models

On Tue, 26 Oct 2004, Blaise Roncagli wrote: I'm currently trying to do a comparison of GARCH results from gretl and R (the ARMA results seem pretty much the same). My problem at present is that I can't get R to produce any sensible GARCH estimates. I'm using R 2.0.0 on Linux, with the "tseries" library version 0.9-23. With Blaise's two series, and also with the benchmark Bollerslev-Ghysels dataset, the GARCH "a1" and "b1" estimates are printed as "0.050000", regardless of the particular series used. (I have printed the series out from R to check that the data are right.) The B-G results do not remotely resemble the benchmark results. I'm using the defaults (1,1), as in: y.garch <- garch(y) summary(y.garch) Any ideas on what I might be doing wrong? Allin Cottrell