Re: [Gretl-users] GARCH Conversion

The standard garch command worked OK. I then tried to estimate the same model via gig:

include gig.gfn list X = const bundle gb = gig_setup(djclose, 0, X, null, 10) gig_estimate(&gb, 2) # 2 for max verbosity In this case I got failure of convergence, but I could achieve convergence by specifying GARCH(1,1) rather than ARCH(1): gb = gig_setup(djclose, 1, X, null, 10) gig_estimate(&gb) The "beta" coefficient in this case is large, with a very small standard error, which suggests that ARCH(1) is misspecified. Allin _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users