Testing GARCH specification

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vass
Posts: 1
Joined: Thu Mar 18, 2010 10:24 pm

Testing GARCH specification

Postby vass » Thu Mar 18, 2010 10:37 pm

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)? Thanks. (just fyi, I need this as I am to perform log likelihood tests to check for order of GARCH model and the presence of asymmetric effects).

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