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log_t
2011 Feb 26
0
A problem about realized garch model
Hi, I am trying to write the Realized GARCH model with order (1,1)
The model can be describe bellow:
r_t = sqrt( h_t) * z_t
logh_t = w + b*logh_(t-1) + r*logx_(t-1)
logx_t = c + q*logh_t + t1*z_t +t2*(z_t ^2 -1) + u_t
and z follow N(0,1) , u follow N(0, sigma.u^2)
But I'm troubled with the simulation check for my code.
After I simulate data from the model and estimate the data,
I can't get precise estimation for m...