Recently I have discovered a problem with a package called rugarch that creates arma-garch models. The issue is that if you literally change the positions of the x variables (external regressors) then you get two completely different results.
In other words: - model1 = (arma(2,2) + garch(1,0) + x1 + x2) - model2 = (arma(2,2) + garch(1,0) + x2 + x1) - rugarch's output is essentially saying that model1 != model2 - When the correct result should be model1 == model2 I may not know a lot of statistics but I know for a fact that if you move the x variables around, the output should still be the same. Am I wrong on this? Here's my stack exchange post that shows a generic R script proving my point: Should the positioning of the external regressors change the output of arma-garch? (Possible rugarch bug/error) <https://stackoverflow.com/questions/51900177/should-the-positioning-of-the-external-regressors-change-the-output-of-arma-garc> Any feedback is welcomed. Thanks [[alternative HTML version deleted]] _______________________________________________ [email protected] 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.
