mean equation in GARCH models
Posted: Sat Jun 06, 2015 11:00 am
by som145
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 different. Please help
Re: mean equation in GARCH models
Posted: Tue Jun 09, 2015 6:42 am
by trubador
In what context and for which paper the "reviewer" made that comment? Also, why is it important for you? It is true that GARCH-type models primarily operate on the variance part, and therefore all that really matters is the conditional variance. However, since the parameters of mean equation are estimated jointly with those of the variance equation, there can be differences between them (even if the differences may turn out to be statistically insignificant).