Re: [Gretl-users] GARCH estimation

On Wed, 21 May 2008, yinung CYCU wrote: Dear all > > > I use gretl 1.7.4 to estimate a GARCH model by using default menu function > (i.e., \Model\Time series\GARCH ) and by the command in console. But they > generate different results. The details of iterations are as follows. Any > idea? > Could you please check what happens by issuing the command garch 0 1; Y const Y(-1) --verbose via the console? If my guess is right, you should get the same estimates as the menu function. The trick is: you must specify the constant among the regressors for the mean equation. We don't support garch models withut a constant term yet. If you don't put the constant in, we should flag an error, which we don't. Riccardo (Jack) Lucchetti Dipartimento di Economia Università Politecnica delle Marche r.lucchetti(a)univpm.it http://www.econ.univpm.it/lucchetti _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users