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Dear gretl users,
I have a quick/narrow question about the estimation of an EGARCH model with
gretl. I'm estimating it via GUI. Just to be sure:
Since EGARCH estimates the "log" of the conditional variance, is the output
(which one can save via Save --> h) in log terms? So, for sake of clarity,
shoud I take exp(h) to get the (raw) variance? Or does gretl do that
transformation?
Thanks for your time.
Gabriela
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On Tue, 27 Jan 2015, Gabriela Nodari wrote:
Dear gretl users,
I have a quick/narrow question about the estimation of an EGARCH model with
gretl. I'm estimating it via GUI. Just to be sure:
Since EGARCH estimates the "log" of the conditional variance, is the output
(which one can save via Save --> h) in log terms? So, for sake of clarity,
shoud I take exp(h) to get the (raw) variance? Or does gretl do that
transformation?
It's done for you automatically. Try this:
<hansl>
include gig.gfn
open b-g.gdt --quiet
emod = gig_setup(Y,7,const)
gig_estimate(&emod)
series h = emod.h
printf "Sample var = %g, estimated = %g\n", var(Y), mean(h)
</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
-------------------------------------------------------
Dear Jack,
Great! Thanks for the timely answer.
Gabriela
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Riccardo (Jack) Lucchetti