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Does that mean that the coefficients estimation is more precise?

@startz

Just to be perfectly clear, is there any difference between an ARMA and an ARMA-GARCH model as far as the mean equation is concerned?

up

I know that ARCH family is used to model time-varying volatility, but would it be okay if I just developed it in order to see t he significance and "the impact" of an independent variable over the dependent one ? I could do it with an ordinary regression, but I would have to face heteroske...

Ook, thanks :*

It is a bit odd, if I might, anyway. Because if there is autocorrelation in the series you may want to correct it BEFORE you run your garch model, otherwise the estimation may be altered.

I see startz, thanks.

So, if I want to choose the equation of the mean, I should do that with the ARCH method (in Estimation Setting) and not choose the equation for the mean FIRST(using ols or arma method) and then estimate the garch.

Hello everyone, I'm new here and hope you can give me a hand with my problem.

Why do the p-values of my MEAN's coefficients change when I estimate a (G)ARCH model?

Shouldn't Eviews be only working with the residuals of that MEAN?

I hope I've been clear