Re: [Gretl-users] AR-GARCH-t ML

Hi there and greetings, I wonder would you send to me the data as a text file please. I'd like to have a peek at its contents particularly if you reckon it has long memory thanks and best wishes Richard Hudson Dr RJF Hudson Qld Australia rjfhud(a)powerup.com.au ----- Original Message ----- From: "Riccardo (Jack) Lucchetti" <r.lucchetti(a)univpm.it&gt; To: "Gretl list" <gretl-users(a)lists.wfu.edu&gt; Sent: Thursday, March 29, 2012 4:19 PM Subject: Re: [Gretl-users] AR-GARCH-t ML On Thu, 29 Mar 2012, Daniel Bencik wrote: Out of curiosity: is there any special reason why your specification has to be an arma-garch model with t innovations? From a quick look at the data, it would seem there are better alternatives. For example, your data exhibit quite a few features that are typical of long-memory processes. Just as an example of what I have in mind: <hansl> include gig.gfn open http://eubie.sweb.cz/Allin/allRng.gdt # remove long memory y = fracdiff(allRng, 0.5) # set up an AR(1)-GJR model model = gig_setup(y, 3, const, null, 1) # with skewed-t innovations gig_set_dist(&model, 3) # estimate gig_estimate(&model) </hansl> Riccardo (Jack) Lucchetti Dipartimento di Economia Università Politecnica delle Marche (formerly known as Università di Ancona) r.lucchetti(a)univpm.it http://www2.econ.univpm.it/servizi/hpp/lucchetti --------------------------------------------------------------------------------