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Reviewer of a paper commented that estimated results of mean equation in both GARCH(1,1) and that of the EGARCH(1,1) will be the same for same data set. Only variance equations and estimated results thereof would differ. However, my estimated results for mean equations from above to models are diffe...

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