Synopsis: 6th Tutorial
Κυριακή, 14 Μαΐου 2017 - 11:40 π.μ.
- από τον χρήστη CHATZILENA ANASTASIAWe examined issues concerning the GARCH(1,1) process using Matlab. Semi-parametric estimation was addressed evaluating the Gaussian QMLE and discussing the numerical nature of its derivation. A Matlab code can be found here.
We have also been occupied with the example of an EGARCH(1,1) process. You can find notes on the latter here.
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