Re: [Gretl-users] GARCH Conversion
On Fri, 22 Jun 2018, Periklis Gogas wrote:
Hello Allin,
> The standard garch command worked OK. I then tried to estimate the
> same model via gig:
>
gig?
Yes, that's the package you use for the "GARCH variantes". Example:
<hansl>
open nysewk.gdt --quiet
r = 100 * ldiff(close)
garch 1 1 ; r --robust
include gig.gfn
mod = gig_setup(r,1, const)
gig_estimate(&mod)
</hansl>
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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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