[R-SIG-Finance] rugarch gives two different results based on the same model…how is that even possible?

[GALIB KHAN]

Recently I have discovered a problem with a package called rugarch that
creates arma-garch models. The issue is that if you literally change the
positions of the x variables (external regressors) then you get two
completely different results.

In other words:

   - model1 = (arma(2,2) + garch(1,0) + x1 + x2)
   - model2 = (arma(2,2) + garch(1,0) + x2 + x1)
   - rugarch's output is essentially saying that model1 != model2
   - When the correct result should be model1 == model2

I may not know a lot of statistics but I know for a fact that if you move
the x variables around, the output should still be the same.

Am I wrong on this?

Here's my stack exchange post that shows a generic R script proving my
point: Should the positioning of the external regressors change the output
of arma-garch? (Possible rugarch bug/error)
<https://stackoverflow.com/questions/51900177/should-the-positioning-of-the-external-regressors-change-the-output-of-arma-garc>

Any feedback is welcomed.

Thanks

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