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.
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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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