[R-SIG-Finance] Problem with estimation results of ARMAX-GARCHX

[Philipp Lammers]

Hello everybody,

 

I am currently facing an estimation problem in the ARMAX-GARCHX model. The
"rugarch"-package is used for estimation. The problem arises because my
professor is not satisfied with the estimation results, he expects the
ARMAX-GARCH results in the mean equation to be the same as the normal ARMAX
results. But this is not the case and the results differ significantly. 

 

I already wrote to the programmer of the rugarch package, who thankfully
gave me a hint , that the results are different under the presence of
heteroskedasticity. He recommended me to post to this mailing list. Can
anybody confirm that the results are different? Where can I find this issue
in the literature?

 

My R-code can be downloaded from my Dropbox:
https://www.dropbox.com/s/k557ev4lmmnykqu/ARMAGARCH.R?dl=0 .Note that the
corresponding data will be downloaded from the Dropbox as well, when the
code is executed.

 

I hope that you can help me.

 

Thank you all in advance.

 

Philipp Lammers

 


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