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by vass
Thu Mar 18, 2010 10:37 pm
Forum: Estimation
Topic: Testing GARCH specification
Replies: 0
Views: 1598

Testing GARCH specification

Hello, Could anyone let me know when estimating GARCH using t-distribution errors or GED whether the Log likelihood function reported is the exact likelihood function for such a distribution, i.e. all scalar quantities are included and the correct distribution is used (no quasi log likelihood fn)? T...

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