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

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:
On Tue, 8 Mar 2011, Riccardo (Jack) Lucchetti wrote:

There's a fundamental notation problem here.

Lee's book follows the notation in Hill et al, which in turn is based on what I believe EViews uses. The trouble is that what EViews calls a TGARCH is not the same thing as what gig calls a TARCH. The model described in eq. 14.9 in Lee's book corresponds to what gig calls a GJR model, with different notation. (...)

Better late than never.

In the CVS version of gig, the GJR case is treated specially to make it easier to compare results with other packages (that means Eviews, in practice). If you want to try out CVS gig, here's what you do:

2) unpack in a subdirectory of your choice

3) run the file gig.inp; this should produce a new gig.gfn package file in the same directory

4) substitute the old gig.gfn file in your gretl installation with the freshly-baked, delicious-smelling one.

5) Enjoy.

Riccardo (Jack) Lucchetti
Dipartimento di Economia
Università Politecnica delle Marche

r.lucchetti@univpm.it
http://www.econ.univpm.it/lucchetti

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