Thank you all, AR(7) turned out to be the best specification in the end. Trying to fit a short memory model on long memory volatility is a pain. Allin, do you still want my dataset? All the best, Daniel
- Re: [Gretl-users] AR-GARCH-t MLE Daniel Bencik
- Re: [Gretl-users] AR-GARCH-t MLE Jack
- Re: [Gretl-users] AR-GARCH-t MLE Allin Cottrell
- Re: [Gretl-users] AR-GARCH-t MLE Rodrigo Alfaro Arancibia
- Re: [Gretl-users] AR-GARCH-t MLE Daniel Bencik
- Re: [Gretl-users] AR-GARCH-t MLE Jack
- Re: [Gretl-users] AR-GARCH-t MLE Ignacio Diaz-Emparanza
- Re: [Gretl-users] AR-GARCH-t MLE Jack
- Re: [Gretl-users] AR-GARCH-t MLE Jack
- Re: [Gretl-users] AR-GARCH-t MLE Allin Cottrell
- Re: [Gretl-users] AR-GARCH-t MLE Daniel Bencik
- Re: [Gretl-users] AR-GARCH-t MLE Allin Cottrell
- Re: [Gretl-users] AR-GARCH-t MLE mandar phatak
- Re: [Gretl-users] AR-GARCH-t MLE Sven Schreiber
- Re: [Gretl-users] AR-GARCH-t MLE Clive Nicholas