El 26/03/12 10:10, Daniel Bencik escribió: > Hello everybody, > > first off, thank you all for suggestions. > > Riccardo, I know that anything bigger than arma(2,1) is going to be a > crappy model. Im forecating volatility and arma is one of the options, > the obviously sloppy one but nevertheless the benchmark and I can prove > nowehere else than on out of sample that its great fit is just an > illusion. That's actually the point... > > So, the ARMA(6,5)-GARCH(1,1) model with T-distributed residuals in > Eviews gives estimates which are to be seen at > http://eubie.sweb.cz/gretl_forum/Eviews_estimation.PNG
I would say this is showing common roots in the AR and MA parts: The AR roots 0.59+-0.76i are very close to the MA roots 0.60+-0.77i and the AR roots -0.79+-0.56i are very close to the MA roots -0.78+-0.58i So I think this is an ARMA(2,1)-GARCH(1,1) > > When I plug in the very same numbers as initial values into my gretl > code, I get convergence, however, I arrive at different estimates, see > http://eubie.sweb.cz/gretl_forum/gretl_forum_correct_starting_values.txt > Yes, this seems to be very different. I cannot see now what the problem may be, but if you try with the ARMA(2,1)-GARCH(1,1) I am sure it will be easier to detect the problem. -- Ignacio Diaz-Emparanza DEPARTAMENTO DE ECONOMÍA APLICADA III (ECONOMETRÍA Y ESTADÍSTICA) UPV/EHU Avda. Lehendakari Aguirre, 83 | 48015 BILBAO T.: +34 946013732 | F.: +34 946013754 www.ea3.ehu.es
