Am 28.02.2011 05:58, schrieb zhuhongming: > does anyone know why do i get different result from running ARCH (2) and > GARCH (0,2), are they not suppose to give the same output? i got > different alpha (1) and alpha (2) > i want to use the GARCH command for ARCH (2),because i want to get > standardized residual for ARCH(2). And from the command user's guide it > says ARCH (1) and GARCH (0,1) are the same thing, but i ran both but > they are giving me different results. anyone know why? please >
AFAIK the estimation approaches are different, as explained in the help entries for 'arch' and 'garch'. So you will almost always get different estimates even though the model formulations are equivalent. This is in general not an error, except possibly if you find implausibly large differences. hth, sven
