Hello Allin,

If we're still talking about the ARCH(1) model for the NYSE "close"

value, it ain't goint to converge, it's too badly misspecified. With

some datasets and specifications the limiting factor may be

calculation of the parameter covariance matrix, but that's not the

case here.

I see.

In case of trouble with GARCH convergence I recommend checking the

box marked "Show details of iterations" (or using the --verbose

option on the command line). This gives you some diagnostic

information. Gretl claims "convergence" only if it finds a high

point in the admissible parameter space where the norm of the

gradient of the loglikelihood is acceptably small, and that's not

happening in the NYSE example. (Eviews apparently doesn't care about

the admissibility of the GARCH parameter values; I don't know

whether it bothers to calculate the gradient, or just stops when the

loglikelihood "stops changing".)

This is exactly what I was suspecting. Either there was a problem with

Gretl to converge, or Eviews spits out whatever or any outcome instead

of a meaningful one.

Anyway, in the NYSE case you'll see this message:

"Convergence was not reached. One possible reason for this is

autocorrelation in the error term.

After estimating the model by OLS, the following result was

obtained for a test of autocorrelation of order 52:

LMF = 2.30988, with p-value 4.68768e-07"

I will try to reproduce this.

Gretl will not try to "keep you happy" by claiming convergence when

it is not obtained.

This is great Allin! thank you lots!

Allin

_______________________________________________

Gretl-users mailing list

Gretl-users@lists.wfu.edu

http://lists.wfu.edu/mailman/listinfo/gretl-users