Hi all,
I am using Gretl with a class of graduate students and for one of the assignments they have to estimate the optimum GARCH specification based on their data. Each student uses different stock prices as the variable in question.
When they use both options:
1. Model > Time Series > GARCH
2. Model > TIme Series > GARCH Variants
We seldom get results as the vats majority of models do not converge. This makes it very difficult to use Gretl in class. Why is this? What is the problem?
The same data with the same specification run and get results in Eviews for example.
Bellow I have estimated an AR(10) model with an ARCH(1) specification just to show you the problem.
Using Gretl I get this:
And using Eviews with exactly the same specification and data I get this:
And this happens a lot of times with alternative ARCH/GARCH specifications rendering Gretl impossible to use in class for these types of models.
Any ideas?
