On Fri, Jun 30, 2017 at 6:17 PM, Allin Cottrell <cottrell@wfu.edu> wrote:
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.

First of all thank you very much for the response!

I selected these models ​jut to show this difference they were not the product of any model selection procedure.

 
Gig finds a slightly higher log-likelihood;

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

​Where can I see this?​

 
Apparently there is not a well-defined MLE.

Allin Cottrell


​Thank you very much and sorry for the possibly stupid questions.​


 

_______________________________________________
Gretl-users mailing list
Gretl-users@lists.wfu.edu
http://lists.wfu.edu/mailman/listinfo/gretl-users