Dear Ox-Users,
I am a new ox user and currently I am using G@CH package to do FIGARCH model estimation. I got a problem and would like to ask if anyone can help.
I found that when choose one of the GARCH order to be zero, for example, FIGARCH(1,d,0) or FIGARCH(0,d,1),the results from [log in to unmask] and [log in to unmask] are different. The estimator is significant in one version might be insignificant in the other. However,the results of other models from two version are exactly the same. I checked GARCH(1,1) and FIGARCH(1,d,1)ect.
I don't know if there is something has to be set or I made some wrong specification when I estimate model with zero order.
I would appreciate your help.
Thank you very much.
Best regards,
Ying
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