Hello,
does anyone know if i can use EGARCH-M followed by t-student distribution?
Best wishes.
Search found 2 matches
- Mon Jul 23, 2012 4:56 pm
- Forum: Econometric Discussions
- Topic: Exponential GARCH in mean
- Replies: 0
- Views: 1964
- Mon Jul 23, 2012 4:53 pm
- Forum: Estimation
- Topic: Student-t and Quasi-Maximum Likelihood
- Replies: 2
- Views: 5150
Re: Student-t and Quasi-Maximum Likelihood
Hello, I have the same problem as you, as far as i know and with respect to what i have red, you can use normal distr or Semi Likelihood in the particular case in which you think that data follows t-student distribution. So in the second case you just change the procedure that Eviews uses and thus y...