Re: [Gretl-users] Please Professor Lucchetti: question concerning ARMA model with Garch errors in Gretl

On Wed, 25 Feb 2015, kaffel bilel wrote: [...] Two things: (1) I strongly advise you to subscribe to the gretl user list and ask these questions there: not only you have a much better chance of receiving an answer in a short time, you will also benefit the gretl community because your question (and the subsequent answers) will be archived and made public (and, most importantly, googleable). For this reason, I'm replying to you with the user mailing list in cc. You can browse the archives here: http://lists.wfu.edu/pipermail/gretl-users/ (2) Here is a sample script that estimates an arma(1,1) + garch(1,1). I'm sure that by studying this example together with the gretl manuals you'll find it quite easy to generalise it to the case of your interest: <hansl> set echo off set messages off function series arma_garch_flt(series y, matrix param, scalar p, scalar q) scalar m = param[1] matrix arpar = param[2:p+1] matrix mapar = param[p+2:p+q+1] scalar c = param[p+q+2] scalar a = param[p+q+3] scalar b = param[p+q+4] series ret = NA # --- checks # stationarity matrix roots = polroots(1 | -arpar) check = minc(abs(sumr(roots.^2))) > 1 # invertibility matrix roots = polroots(1 | mapar) check = check && minc(abs(sumr(roots.^2))) > 1 # garch param check = check && (c>0) && (a > 0) && (b>=0) && (a+b<1) if check scalar hlag = c/(1-a-b) series ret = -0.5*ln(2*$pi) # the loglikelihood series e = filter(y - m, 1 | -arpar, -mapar, m) series e2 = e^2 scalar h_unc = c/(1-a-b) series e2lag = ok(e(-1)) ? e(-1)^2 : h_unc series h = filter(c + a*e2lag, 1, b) series ret = -0.5*(2*$pi) - 0.5*ln(h) - 0.5*e2/h endif return ret end function # ------------------------------------------------------------------------ open djclose.gdt --quiet series r = 100 * ldiff(djclose) arima 1 1 ; r armapar = $coeff garch 1 1 ; r garchpar = $coeff[2:] param = armapar | garchpar mle ll = arma_garch_flt(r, param, 1, 1) params param end mle -v </hansl> ------------------------------------------------------- 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 -------------------------------------------------------