Just to quote Jack :)

In the meantime, though, you may find it useful to have a look at
Lee Adkins' online book http://www.learneconometrics.com/gretl/ebook.pdf especially chapter 14.

You will find easy to use GARCH-in-mean there.

Davor

On 8.3.2011. 16:37, Riccardo (Jack) Lucchetti wrote:

On Tue, 8 Mar 2011, Riccardo (Jack) Lucchetti wrote:

My questions are:
- what I'm suppose to put in mean and variance regressors list to obtain the following models:
TGARCG(1,1) and Garch in Mean.

Sorry, I forgot: what I'm talking about is the current release of gig as a gretl 1.9.4 addon. GARCH-in-mean is not supported yet, but will be at some point.

Riccardo (Jack) Lucchetti
Dipartimento di Economia
Università Politecnica delle Marche

r.lucchetti@univpm.it
http://www.econ.univpm.it/lucchetti
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