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I am trying to for loop an AR(k)-GARCH(1,1) model, however it seems that I am getting same log-likelihoods and AICs. I believe that my code is fine, since I manually checked the iterations. Is there any statistically theoretical reason why is this happening?

garch_models = pd.DataFrame(columns=['AIC','Log-Likelihood'],index=garch_columns)
for i in np.arange(len(garch_models)):
    AEX_GARCH_0 = arch_model(log_r['AEX'], lags=i, vol='Garch', p=1, o=0, q=1, dist='t')
    res_AEX = AEX_GARCH_0.fit()
    res_AEX.summary()
    garch_models.iloc[i,0]= res_AEX.aic
    garch_models.iloc[i,1]= res_AEX.loglikelihood

Here's what I am getting in the data frame: enter image description here

Here are two of the iterations (so I can save some space): enter image description here

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You need to add mean = 'AR' (see documentation):

arch_model(log_r['AEX'], mean='AR', lags=i, vol='Garch', p=1, o=0, q=1, dist='t')

Try to check the model specification of AEX_GARCH_0 for the different iterations.

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  • $\begingroup$ Thanks a lot. I don't know how I didn't see this before.... silly me $\endgroup$ – deblue Apr 29 '19 at 15:05
  • $\begingroup$ No problem. Sometimes we just miss something. Please accept the answer :) $\endgroup$ – Johan Stax Jakobsen Apr 29 '19 at 17:05

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