Re: [Gretl-users] GARCH Conversion

On Thu, 21 Jun 2018, Sven Schreiber wrote: > Am 21.06.2018 um 12:52 schrieb Periklis Gogas: >> >> And using Eviews with exactly the same specification and data I get this: > I don't have an explanation (not knowing very well what happens inside the > Garch or gig/GARCH routines), but it is not strictly true that it is the same > specification: In gretl you used the default "sandwich" for the VCV, and > Eviews says "outer product of gradients". You could try to use OPG in gretl > as well and tell us what happens. > > It would certainly be interesting whether Eviews gets it right, or just gets > "something". Also: it looks as if you're using a series in levels, as opposed to log differences, which is what you normally feed into garch models. Could you send me your dataset? I'll have a look at it as soon as I get the chance. ------------------------------------------------------- Riccardo (Jack) Lucchetti Dipartimento di Scienze Economiche e Sociali (DiSES) Università Politecnica delle Marche (formerly known as Università di Ancona) r.lucchetti(a)univpm.it http://www2.econ.univpm.it/servizi/hpp/lucchetti -------------------------------------------------------_______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users