Philipp, In the presence of heteroscedasticity, there is a loss in the asymptotic efficiency of the parameter estimates which are no longer BLUE (see the original ARCH paper by Engle 1982). This effectively means that for most datasets of length N (where N is some finite number), the parameters will be somewhat different. In the rugarch package, ARMA-GARCH is jointly estimated.
If you want to compare non-GARCH ARMA with the typical arima function in R, use the arfimaspec/arfimafit functions (or set the ugarchspec garchOrder to c(0,0) and the stationarity flag in the fit.control to 0). You should also choose method="ML" for arima. Regards, Alexios PS I could not download your dataset from dropbox (only the code). On 18/09/2014 10:35, Philipp Lammers wrote: > Hello everybody, > > > > I am currently facing an estimation problem in the ARMAX-GARCHX model. The > "rugarch"-package is used for estimation. The problem arises because my > professor is not satisfied with the estimation results, he expects the > ARMAX-GARCH results in the mean equation to be the same as the normal ARMAX > results. But this is not the case and the results differ significantly. > > > > I already wrote to the programmer of the rugarch package, who thankfully > gave me a hint , that the results are different under the presence of > heteroskedasticity. He recommended me to post to this mailing list. Can > anybody confirm that the results are different? Where can I find this issue > in the literature? > > > > My R-code can be downloaded from my Dropbox: > https://www.dropbox.com/s/k557ev4lmmnykqu/ARMAGARCH.R?dl=0 .Note that the > corresponding data will be downloaded from the Dropbox as well, when the > code is executed. > > > > I hope that you can help me. > > > > Thank you all in advance. > > > > Philipp Lammers > > > > > [[alternative HTML version deleted]] > > _______________________________________________ > R-SIG-Finance@r-project.org mailing list > https://stat.ethz.ch/mailman/listinfo/r-sig-finance > -- Subscriber-posting only. If you want to post, subscribe first. > -- Also note that this is not the r-help list where general R questions > should go. > _______________________________________________ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
