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st: RE: RE: RE: Not the same results with GARCH
From
Valerie Orozco <[email protected]>
To
"[email protected]" <[email protected]>
Subject
st: RE: RE: RE: Not the same results with GARCH
Date
Wed, 26 Oct 2011 10:02:42 +0000
Thank you Nick for your answer.
You're true, I have to consider some criteria to find my best model. But I still find really surprising that the 4 standard optimization techniques give the same results and that the default one (combination of 2) gives very very very strange and different results...
Fortunately the "best" models (looking at the LL, BIC and AIC criteria, see below) are those that seem the most credible in my opinion.
The conclusion to this is that it is really important to estimate the model with all the optimization techniques to check robustness and choose the best one.
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Free nr bhhh dfp bfgs
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valeur
_cons 110.1*** 102.3*** 102.3*** 102.3*** 102.3***
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ARMA
L.ma 0.781*** 0.695*** 0.695*** 0.695*** 0.695***
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ARCH
L.arch -0.0279* 0.241** 0.241*** 0.241** 0.241**
L.garch -0.956*** 0.742*** 0.742*** 0.742*** 0.742***
_cons 254.3*** 5.671 5.676* 5.672 5.678
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aic 1979.8 1972.9 1972.9 1972.9 1972.9
bic 1997.5 1990.7 1990.7 1990.7 1990.7
LL -984.9 -981.5 -981.5 -981.5 -981.5
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-------------------------------
Valérie OROZCO
Toulouse School of Economics (INRA-GREMAQ)
21, allée de Brienne
F-31000 Toulouse, France
MF 219
+33 5 61 12 85 91
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