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2. For GARCH (1, 1) model x = 0,8 lo = + ax + Bor where &t(d) and t(d) is the t-distribution with degree of d. Let @ = (
Posted: Fri Dec 24, 2021 10:07 am
by answerhappygod
- 2 For Garch 1 1 Model X 0 8 Lo Ax Bor Where T D And T D Is The T Distribution With Degree Of D Let 1 (32.32 KiB) Viewed 86 times
2. For GARCH (1, 1) model x = 0,8 lo = + ax + Bor where &t(d) and t(d) is the t-distribution with degree of d. Let @ = (w,a, b)'. i) Compute the log-likelihood function of Le). ii) = Set w= 0.02, a = 0.25, B = 0.35,01 = 0.05, d = 4, simulate the above GARCH (1, 1) process with sample size=1000 and display the time series plot. iii) Based on the above samples simulated, write a R programme to find the MLEs of O and their standard errors (SE) for the above GARCH (1, 1) model.