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.
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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
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