Timeline for How to fit ARMA-GARCH parameters for any distributions
Current License: CC BY-SA 4.0
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| when toggle format | what | by | license | comment | |
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| Apr 20, 2021 at 7:30 | comment | added | Richard Hardy | @CBBAM, Hamilton "Time Series Analysis" textbook, Tsay "Analysis of Financial Time Series" textbook and other time series / financial econometrics textbooks. See also "Specifying an ARMA-GARCH model without rugarch" and "Algorithm to fit AR(1)/GARCH(1,1) model of log-returns". | |
| Apr 20, 2021 at 7:28 | comment | added | CBBAM | Thank you. So when finding the parameters through MLE, what are we testing on? For example, in ARMA and GARCH we have $\epsilon_i$'s. Are these randomly taken from the distribution? Do you have any references I can look further into? | |
| Apr 20, 2021 at 5:29 | history | answered | Richard Hardy | CC BY-SA 4.0 |