Re: [Gretl-users] GARCH models
Am 28.02.2018 um 09:02 schrieb Riccardo (Jack) Lucchetti:
On Tue, 27 Feb 2018, Javier García wrote:
> One quick question: when estimating a GARCH model (model ->
time
> series -> GARCH), is it possible to estimate an ARMA model for the
> equation of the mean? The problem is that, while lags of the dependent
> variable and other regressors are easy to include, I cannot find an
> option to include the MA part.
No, the natve GARCH command doesn't handle MA() terms in the conditional
mean.
When you say "native", does that include the gig addon?
cheers,
sven