Re: [Gretl-users] Help with GIG package

First short question: How to get gig_estimate coefficients ? I tried as: b = gig_setup(y,3) gig_estimate(&b) matrix g4 = $coeff or g4 = $coeff[3] but I get this error code: ? matrix g4 = $coeff The statistic you requested is not available On the TARCH subject: The comparison of threshold GARCH (TGARCH) model by Zakoian (1994) defined as: sigma_t=sqrt(h_t) sigma_t = alpha_0 + (alpha_1 + gamma_1 d_{t-1}) |e_{t-1}|+ beta_1 sigma_{t-1} with delta=1 in GIG help eq(5): sigma_t = alpha'_0+ alpha'_1 (|e_{t-1}| - gamma'_1 e_{t-1}) + beta'_1 sigma_{t-1} I replicated the same procedure from GJR process (for which I got correct transformation rules) the comparison was made by transforming second eq as: alpha'_1 (|e_{t-1}| - gamma'_1 e_{t-1}) = alpha'_1 (1 - gamma'_1 sign(e_{t-1}))|e_{t-1}| the transformation rules I got are: alpha_0 = alpha'_0 alpha_1 = alpha'_1*(1-gamma'_1) gamma_1 = 2*alpha'_1*gamma'_1 beta_1 = beta'_1 then I used this script to convince myself that all is good: <script> include gig.gfn open djclose y = 100*ldiff(djclose) y -= mean(y) b2 = gig_setup(y,4) gig_estimate(&b2) scalar omega = 0.01 scalar alpha = 0.04 scalar gamma = 0.6 scalar beta = 0.8 mle ll = -0.5*(log(h^2) + (e^2)/h^2) series h = sqrt(var(y)) series e = y series ea = abs(e) series eam = ea * (e<0) series h = omega + alpha*ea(-1) + gamma*eam(-1) + beta*h(-1) params omega alpha gamma beta end mle </script> On 4.7.2011. 9:42, Riccardo (Jack) Lucchetti wrote: