[Gretl-users] AR-GARCH-t ML

Riccardo (Jack) Lucchetti r.lucchetti at univpm.it
Thu Mar 29 02:19:52 EDT 2012

On Thu, 29 Mar 2012, Daniel Bencik wrote:

> Hello Allin, 
> here is the data. 
> Eviews:  http://eubie.sweb.cz/Allin/allrng.wf1
> Gretl:  http://eubie.sweb.cz/Allin/allRng.gdt
> All the best. Please let us know if you find anything.

Out of curiosity: is there any special reason why your specification has 
to be an arma-garch model with t innovations? From a quick look at the 
data, it would seem there are better alternatives. For example, your data 
exhibit quite a few features that are typical of long-memory processes.

Just as an example of what I have in mind:
include gig.gfn
open http://eubie.sweb.cz/Allin/allRng.gdt

# remove long memory
y = fracdiff(allRng, 0.5)
# set up an AR(1)-GJR model
model = gig_setup(y, 3, const, null, 1)
# with skewed-t innovations
gig_set_dist(&model, 3)
# estimate

Riccardo (Jack) Lucchetti
Dipartimento di Economia

Università Politecnica delle Marche
(formerly known as Università di Ancona)

r.lucchetti at univpm.it

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