[R-SIG-Finance] rugarch package vs Eviews cannot get similar results from a model with GARCH errors.

[matheus barroso]

Different random seeds / generators 
Sent from my iPhone

> On 24 Jan 2025, at 14:10, Manfred Alonso Esquivel Monge via R-SIG-Finance <r-sig-finance using r-project.org> wrote:
> 
> I'm trying to replicate in R some results that I get from an Eviews estimation of a model with GARCH errors. For this, I'm using the  "rugarch" package. The problem is that estimated parameters differ by a lot. This is the set up I'm using in R (the data are in an xts object names "datos"):
> 
> spec <- ugarchspec(
>  variance.model = list(model = "sGARCH", garchOrder = c(2, 1)),
>  mean.model = list(armaOrder = c(2, 0), include.mean = TRUE, external.regressors = as.matrix(datos[, c("jueves", "viernes", "sem2", "sem2_ene", "sem3_nov", "sem4_nov")]))
> )
> fit_garch <- ugarchfit(spec = spec, data = datos$d_TC, solver = "gosolnp")
> 
> 
> 
> This es the set up I'm using in Eviews:
> 
> equation fit_garch.arch(2,1) d_TC c ar(1) ar(2) jueves viernes sem2 sem2_ene sem3_nov sem4_nov
> 
> 
> As you can see, they are supposed to be the same model, an ARMA(2,0) with constant term plus some "external regressors" in the mean equation, and a GARCH(2,1) models for the variance. But coefficient estimates differ by no small amount.
> I verified that data are the same (run OLS and got identical results between the softwares).  As a side note, R results does not converge easily, I tried some of the solvers and only "gosolnp" and  "hybrid" converge.
> This is my first time using "rugarch", so chances are big that there is something wrong in my R set up.
> 
> Any help will be greatly appreciated.
> 
> Regards.
> Manfred E.
> 
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