restrtiction for the expected values
Posted: Mon Apr 06, 2009 9:11 am
hi
I want to put the following restrictions in logl object
E_(t-1) (η_t )=0, E_(t-1) (η_t^2 )=1, E_(t-1) (η_t^3 )=s_t and E_(t-1) (η_t^4 )=k_t. where η_t are the residuals series resulting from an GARCH(1,1) model
I want to put the following restrictions in logl object
E_(t-1) (η_t )=0, E_(t-1) (η_t^2 )=1, E_(t-1) (η_t^3 )=s_t and E_(t-1) (η_t^4 )=k_t. where η_t are the residuals series resulting from an GARCH(1,1) model