Re: [Gretl-users] GARCH models
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...
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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
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