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