Displaying 2 results from an estimated 2 matches for "tgarch".
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garch
2013 Apr 08
0
Maximum likelihood estimation of ARMA(1,1)-GARCH(1,1)
...lready gives me the
answer, but my customized function does not seem to produce the same
result.
I would like to build an R program that helps estimate the baseline
ARMA(1,1)-GARCH(1,1) model. Then I would like to adapt this baseline
script to fit different GARCH variants (e.g. EGARCH, NGARCH, and
TGARCH). It would be much appreciated if you could provide some
guidance in this case. The code below is the R script for estimating
the 6 parameters of an ARMA(1,1)-GARCH(1,1) model for Intel's stock
returns. At any rate, I would be glad to know your thoughts and
insights. If you have a similar examp...
2005 Dec 13
1
fSeries
...g-likelyhood. I've really checked everything and can't find the estimated series sigma (volatility) and eta, such that eps = sigma * eta and eta is centered and reduced... I've tryed combinations of all s$x,s$h,s$z and nothing looks looks correct.
Also, is it possible to fit EGARCH and TGARCH with R ?
If anyone ever managed to make it work, i'd be grateful ;-)