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st: RE: RE: Not the same results with GARCH

From   Nick Cox <>
To   "''" <>
Subject   st: RE: RE: Not the same results with GARCH
Date   Wed, 26 Oct 2011 10:24:51 +0100

No one replied yet, no doubt partly because we can't say anything about your data. 

My guess is that you did nothing wrong; these models are not always as successful as people want, and different search methods can find different (sub-)optima within parameter space. 

You don't cite any figures of merit/badness-of-fit/goodness-of-fit measures, but there seems to be a choice between two quite different fits. Perhaps there are also graphical or scientific grounds to choose between them. 


Valerie Orozco

I just noticed that the optimization technique used in my "Free" model (without any technique specified) is : 
e(technique) : "bhhh bfgs"
That is a combination of 2 techniques. I don't understand why the results are so different from the others estimations but it explains why the results are not the same than the "nr" ones.

Valerie Orozco 

I have some trouble with the "arch" command.
I want to model a MA(1) process and a GARCH on its residuals. When I specify the technique of optimization, I find quite the same results whatever the method (nr bhhh dfp bfgs). But when I don't write the "technique" option, I have very strange results (see below).
I thought that no specifying the technique means that the technique would have been the default one (nr) but it seems not...
Do you have an idea? What I am doing wrong???

Thank you.

Here you have my program: 
eststo clear
eststo Free : arch  valeur, ma(1) garch(1) arch(1)

local tech "nr bhhh dfp bfgs"
foreach t of local tech {
    qui eststo `t' : arch  valeur, ma(1) garch(1) arch(1)  technique(`t') }


And here, you have the results : 
                     Free           nr         bhhh          dfp         bfgs
                        b            b            b            b            b
_cons            110.1188     102.2961     102.2969     102.2965     102.2959
ARMA                                                                             .7813551     .6950596     .6950131     .6950479     .6950538
L.arch          -.0278845     .2406442     .2407423     .2405665     .2407807
L.garch         -.9560793      .741724     .7416003     .7417785     .7415708
_cons            254.3421     5.670839     5.675977     5.672461      5.67767

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