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. > > Thank you very much, > This depends of different choices that were made in the internal GARCH implementaton and in gig (both, IMO, defensible): as you can see, the \alpha_2 parameter turns out to be negative in gig, while it is constrained to 0 in the other model.

The issue is discussed in more depth in section 5.4 of the gig manual.

------------------------------------------------------- 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