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How to calculate the Fisher Information Matrix in GARCH?

I want to know how to calculate the standard errors in them and without the empirical fisher information, empirical likelihood, I have no idea what my software does.

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  • $\begingroup$ I think the cases of GARCH, VAR and ARIMA are all quite distinct, as the estimators and optimization methods involved are different. That makes your question quite broad (too broad in my view). $\endgroup$ Jun 2 at 7:17
  • $\begingroup$ What software are you using? Have you looked at the documentation or the source code (if it is open source)? $\endgroup$ Jun 2 at 13:11

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