Re: [Gretl-users] GARCH Conversion
I see, I only use it with the menus in class.
PG
*Periklis Gogas
<http://www.econ.duth.gr/personel/dep/gkogkas/index.en.shtml>*
Associate Professor
of Economic Analysis and International Economics
Department of Economics, Democritus University of Thrace
Associate Editor - Journal of Economic Asymmetries
<https://www.journals.elsevier.com/the-journal-of-economic-asymmetries/>
Euro Area Business Cycle Network - Fellow
<http://www.eabcn.org/person/periklis-gogas>
The Rimini Centre for Economic Analysis - Fellow
<http://www.rcfea.org/component/option,com_frontpage/Itemid,1/>
The Society for Economic Measurement - Member
<http://sem.society.cmu.edu/home.html>
Institute for Nonlinear Dynamical Inference (INDI) - Charter Fellow
<http://icemr.ru/institute-for-nonlinear-dynamical-inference/>
Σύγχρονοι Ελληνικοί Μύθοι
<http://www.public.gr/product/syghronoi-ellinikoi-mythoi/prod9040056pp/?so...
- το νέο μου βιβλίο
On Fri, Jun 22, 2018 at 3:19 PM Riccardo (Jack) Lucchetti <
r.lucchetti(a)univpm.it> wrote:
On Fri, 22 Jun 2018, Periklis Gogas wrote:
> Hello Allin,
>
>
>
>> The standard garch command worked OK. I then tried to estimate the
>> same model via gig:
>>
>
> gig?
>
Yes, that's the package you use for the "GARCH variantes". Example:
<hansl>
open nysewk.gdt --quiet
r = 100 * ldiff(close)
garch 1 1 ; r --robust
include gig.gfn
mod = gig_setup(r,1, const)
gig_estimate(&mod)
</hansl>
-------------------------------------------------------
Riccardo (Jack) Lucchetti
Dipartimento di Scienze Economiche e Sociali (DiSES)
Università Politecnica delle Marche
(formerly known as Università di Ancona)
r.lucchetti(a)univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
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