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- Tue Aug 01, 2017 9:54 am
- Forum: Estimation
- Topic: Using 'maximum likelihood estimation' to estimate EGARCH model parameters
- Replies: 0
- Views: 2012
Using 'maximum likelihood estimation' to estimate EGARCH model parameters
Hi, Can anyone give me some advice on how to use Eviews to do the 'Maximum Likelihood estimation' to estimate the EGARCH parameters? Step 1: Based on the Fama-french three-factor model to get the error term, Eq(1) Step 2: The error term, which is the idiosyncratic return is assumed to have a normal ...