Dear hello,

I run an AR(10)-GARCH(2,2) model just for an example using the included data file djclose.gdt

I run the following:

Model 1:

Model>Time Series>GARCH Variants and got this:

Model 2:

Model>Time Series>GARCH and got this:

Why do I get so different results on the same data and model? The

results are very different in both the mean equation and the GARCH

part. They are both an AR(10)-GARCH(2,2) in the logs.

Thank you very much,

Periklis Gogas
Associate Professor
of Economic Analysis and International Economics
Department of Economics, Democritus University of Thrace
Euro Area Business Cycle Network - Fellow
The Rimini Centre for Economic Analysis - Fellow
The Society for Economic Measurement - Member
Institute for Nonlinear Dynamical Inference (INDI) - Charter Fellow