Re: [Gretl-users] AR-GARCH-t MLE

On Tue, 20 Mar 2012, Daniel Bencik wrote: > I humbly ask you for help with hopefully the last problem. > > I would like to estimate an AR(1)-GARCH(1,1) model with T-distributed normalized residuals. I take the loglik function from http://faculty.chicagobooth.edu/jeffrey.russell/teaching/finecon/readings... p15 and transform everything into code. > # allRng[t] = c + a1*allRng[t-1] + e[t] > scalar c = 0.1 > scalar a1 = 0.1 > > # e[t] = h[t] * Student[t] > # GARCH - h[t] = cg + ga*h[t-1] + arc*e^2[t-1] > scalar cg = 0.1 > scalar ga = 0.1 > scalar arc = 0.1 > scalar dof = 4 > > mle ll = log(gammafun((dof + 1)/2)) - log(gammafun(dof/2)) - 0.5*log(dof-2) - log(h) # - 0.5*(dof + 1)*log(1 + (dof - 2)^(-1)*h^(-2)*e^2) > series e = 0 > series e = allRng - c - a1*allRng(-1) #AR1 process > > series h = var(allRng) This is a type error: given a series argument, the var() function returns a scalar result, namely the variance of the series.