EViews.com

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

The "H" in ARCH stands for heteroskedasticity. That affects standard errors.

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.

That's right. The mean equation and ARCH are estimated together.

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.

Nothing stops you from correcting for serial correlation in the mean equation during ARCH estimation. Just include AR(1) (or whatever) in the specification.

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 the 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 heteroskedasticity which could alter its parameters and may lead to false results.

Totally fine

@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?

The difference is that ARCH gives a GLS-like estimate correcting for time-varying heteroskedasticity, which seems to be what you want.

Does that mean that the coefficients estimation is more precise?

Yes, it does.