Thank you so much for the response!

On Fri, Jun 30, 2017 at 6:17 PM, Riccardo (Jack) Lucchetti <r.lucchetti@univpm.it> 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.

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.

Yes, but isn't that inconsistent? I tried to use Gretl to teach my students ARCH models and they had this question of why the same model specified has different estimates in the two cases.

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

I will check that right now!

Best regards,

Periklis

-------------------------------------------------------
Riccardo (Jack) Lucchetti
Dipartimento di Scienze Economiche e Sociali (DiSES)

Università Politecnica delle Marche
(formerly known as Università di Ancona)

r.lucchetti@univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
-------------------------------------------------------
_______________________________________________
Gretl-users mailing list
Gretl-users@lists.wfu.edu
http://lists.wfu.edu/mailman/listinfo/gretl-users