Timeline for Derivation of GARCH Student-$t$ log-likelihood
Current License: CC BY-SA 4.0
16 events
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| May 31, 2021 at 8:44 | answer | added | Count | timeline score: 2 | |
| May 31, 2021 at 6:07 | history | bumped | CommunityBot | This question has answers that may be good or bad; the system has marked it active so that they can be reviewed. | |
| Jan 27, 2021 at 4:03 | history | bumped | CommunityBot | This question has answers that may be good or bad; the system has marked it active so that they can be reviewed. | |
| Dec 23, 2020 at 18:00 | history | tweeted | twitter.com/StackStats/status/1341805792878600194 | ||
| Dec 11, 2020 at 19:43 | history | edited | Richard Hardy | CC BY-SA 4.0 |
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| Oct 18, 2020 at 15:05 | history | bumped | CommunityBot | This question has answers that may be good or bad; the system has marked it active so that they can be reviewed. | |
| Jun 17, 2020 at 10:02 | history | bumped | CommunityBot | This question has answers that may be good or bad; the system has marked it active so that they can be reviewed. | |
| Jun 11, 2020 at 14:32 | history | edited | CommunityBot |
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| Feb 14, 2020 at 12:01 | history | bumped | CommunityBot | This question has answers that may be good or bad; the system has marked it active so that they can be reviewed. | |
| Oct 16, 2019 at 10:01 | history | bumped | CommunityBot | This question has answers that may be good or bad; the system has marked it active so that they can be reviewed. | |
| Sep 14, 2019 at 15:51 | answer | added | Johan Stax Jakobsen | timeline score: 2 | |
| Mar 20, 2016 at 21:24 | comment | added | whuber♦ | The check can be done with units analysis alone--it doesn't require any training beyond understanding how a probability distribution represents probabilities. BTW, it's fine to answer your own question. | |
| Mar 20, 2016 at 17:05 | history | edited | Taufi | CC BY-SA 3.0 |
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| Mar 20, 2016 at 17:00 | comment | added | Taufi | No, I was not able to work it out fully. I am not a trained statistician and new in the field of distributions. Nevertheless, I know that $ \sigma^2 = \frac{v}{v-2}$ is the variance of the t-distribution (with $\nu > 2$). So I suppose some algebraic manipulation together with substitutions took place. Actually this is the solution, right? | |
| Mar 20, 2016 at 15:18 | comment | added | whuber♦ | Have you worked out what the variance of this distribution is? Bollerslev claims it is $\sigma^2$ (explicitly assuming $\nu \gt 2$)--and that's something you can check. (Although omitting a multiplicative function of $\pi$ is not OK in this definition, it can be taken as a typographical error; and omitting such a function in using a log likelihood to perform maximum likelihood estimation is usually harmless.) | |
| Mar 19, 2016 at 20:03 | history | asked | Taufi | CC BY-SA 3.0 |