Re: [Gretl-users] GARCH results differences
On Fri, 30 Jun 2017, Periklis Gogas wrote:
Dear hello,
I run an AR(10)-GARCH(2,2) model just for an example using the included
data file djclose.gdt
I run the following:
*Model 1:*
Model>Time Series>GARCH Variants and got this:
[image: Inline image 1]
*Model 2:*
Model>Time Series>GARCH and got this:
[image: Inline image 2]
Why do I get so different results on the same data and model? The
results are very different in both the mean equation and the GARCH
part. They are both an AR(10)-GARCH(2,2) in the logs.
I wouldn't say the results are very different: they're qualitatively
similar and both sets suggest an over-parameterized/misspecified
model. Gig finds a slightly higher log-likelihood; the built-in garch
command warns that the norm of the gradient at "convergence" is too
big. Apparently there is not a well-defined MLE.
Allin Cottrell