Differnt estimated values of mean equation in GARCH and EGAR

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som145
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Joined: Sat Jun 06, 2015 10:11 am

Differnt estimated values of mean equation in GARCH and EGAR

Postby som145 » Sat Jun 06, 2015 10:29 am

I am running GARCH(1,1) and EGARCH(1,1) models on same data set. The estimated values of mean equations are different. Reviewer says variance equations and their computed values will be different. but mean equation's estimated values will be the same for both the models. Please help

NicolasR
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Joined: Mon Nov 04, 2013 6:22 pm
Location: Here

Re: Differnt estimated values of mean equation in GARCH and

Postby NicolasR » Tue Jul 07, 2015 9:03 am

The mean and the variance equations are estimated by ML simultaneously, therefore the estimates for the mean equation could change due to changes in the variance equation.


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