Re: [Gretl-users] GARCH results differences

On Fri, 30 Jun 2017, Periklis Gogas wrote: 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: > [image: Inline image 1] > > *Model 2:* > Model>Time Series>GARCH and got this: > [image: Inline image 2] > > 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. > I wouldn't say the results are very different: they're qualitatively similar and both sets suggest an over-parameterized/misspecified model.

Gig finds a slightly higher log-likelihood;

the built-in garch command warns that the norm of the gradient at "convergence" is too big.

Apparently there is not a well-defined MLE. Allin Cottrell

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