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- Fri Apr 10, 2015 2:22 am
- Forum: Estimation
- Topic: Estimate AR-EGARCH with 1;7 ARCH, 1;7 GARCH
- Replies: 0
- Views: 1948
Estimate AR-EGARCH with 1;7 ARCH, 1;7 GARCH
Hello everyone, For a study on estimating and forecasting Value-at-Risk, I developed several models. Unfortunately on my fourth model I am stuck.. I aim to estimate an AR-EGARCH-N model, thus with normal distributed error terms and also AR-EGARCH-t, thus with t-distributed ones. My mean equation and...