Re: [Gretl-users] ARCH and GARCH
On Tue, 1 Mar 2011 ajzhmkaven(a)hotmail.com wrote:
So should I just use garch (0 2) for arch (2) ? And assume the
garch (0 2) is the right one?
You are better using the garch command to estimate an ARCH(2)
model, but you are better still using the right model for the
data, which is surely not ARCH(2) for your NASDAQ returns. Neither
estimator will give "right" results for a wrong specification.
Allin Cottrell
brief back-story:
On Tue, 1 Mar 2011, zhuhongming wrote:
> I used the data in the attachment to run ARCH (2) and GARCH
> (0,2), i assumed they would give me the same result but they did
> not.
They don't give the same results because (a) the estimators are
completely different and (b) the model is misspecified [...]