Re: [Gretl-users] ARCH (2) and GARCH (0,2)
Am 28.02.2011 05:58, schrieb zhuhongming:
does anyone know why do i get different result from running ARCH (2)
and
GARCH (0,2), are they not suppose to give the same output? i got
different alpha (1) and alpha (2)
i want to use the GARCH command for ARCH (2),because i want to get
standardized residual for ARCH(2). And from the command user's guide it
says ARCH (1) and GARCH (0,1) are the same thing, but i ran both but
they are giving me different results. anyone know why? please
AFAIK the estimation approaches are different, as explained in the help
entries for 'arch' and 'garch'. So you will almost always get different
estimates even though the model formulations are equivalent. This is in
general not an error, except possibly if you find implausibly large
differences.
hth,
sven