Differnt estimated values of mean equation in GARCH and EGAR

[som145]

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]

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.