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garch estimation
Posted: Fri Jul 20, 2012 9:00 am
by Nau2306
Hello
I would like to know what is the difference between garch estimation in eviews 6 and eviews 7? Why don't they produce the same result?
Thanks
Re: garch estimation
Posted: Fri Jul 20, 2012 9:04 am
by EViews Gareth
Could you be more specific?
Re: garch estimation
Posted: Fri Jul 20, 2012 9:55 am
by Nau2306
When I am estimating the garch model using the same sample data on eviews 6 and eviews 7, the estimation result is different. Why is it so?
Re: garch estimation
Posted: Fri Jul 20, 2012 10:05 am
by EViews Gareth
Please provide the workfile and the exact equation specification you used, plus the build dates of your copies of EViews 6 and 7.
Re: garch estimation
Posted: Fri Jul 20, 2012 10:50 pm
by Nau2306
Here is the workfile, and the specification is
mean : returns c ar(1)
arch - m : stdev
model : garch(1,1)
error distribution: GED
max iterations set to 10000
Build date of eviews 6 : Jun 3 2008
I will be able to provide you with the build date of eviews 7 in 2 day's time but I would like to know if it is normal that the estimation result is different or should it be the same?
Thanks
Re: garch estimation
Posted: Thu Jul 26, 2012 5:16 am
by Nau2306
Sorry for late reply
The build date of eviews 7 : 7 Jan 2010
Could you please look into the matter and let me know asap
Thanks
Re: garch estimation
Posted: Thu Jul 26, 2012 6:10 am
by EViews Gareth
Update both to the latest version of each - both are massively out of date.
http://www.eviews.com/download/download.html