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- 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...
