Using 'maximum likelihood estimation' to estimate EGARCH model parameters

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joycehantan
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Joined: Tue Aug 01, 2017 3:45 am

Using 'maximum likelihood estimation' to estimate EGARCH model parameters

Postby joycehantan » Tue Aug 01, 2017 9:54 am

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 distribution: Eq(2)

Step 3: The conditional variance of this error term is modeled using EGARCH process, same equation in Eviews Eq(3)

Step 4: The parameters estimated for Eq(1), Eq(2) and Eq(3) is from the 'maximum likelihood estimation

I am so confused on how to use this method in Eviews. Could anyone please give me some advice?

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