Re: [Gretl-users] GARCH models

Am 28.02.2018 um 10:44 schrieb Riccardo (Jack) Lucchetti: > On Wed, 28 Feb 2018, Sven Schreiber wrote: > >> Am 28.02.2018 um 09:02 schrieb Riccardo (Jack) Lucchetti: >>> On Tue, 27 Feb 2018, Javier García wrote: >> >>>> One quick question: when estimating a GARCH model (model -> time series >>>> -> GARCH), is it possible to estimate an ARMA model for the equation of >>>> the mean? The problem is that, while lags of the dependent variable and >>>> other regressors are easy to include, I cannot find an option to include >>>> the MA part. >>> >>> No, the natve GARCH command doesn't handle MA() terms in the conditional >>> mean. >> >> When you say "native", does that include the gig addon? > > Yes. In fact I was thinking that adding MA terms to gig may be a nice > project for a student. Hmm... Apart from that, could you quickly comment on a two-step estimation approach like this: First fit an ARMA model to the levels (the mean equation), then take the estimated residuals and proceed to the GARCH model of the variance equation. Of course this wouldn't be an ML estimator, but should be consistent, no? (If you don't need ARCH-in-mean or something like that.)