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How to estimate ARMA-GARCH by QMLE
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Leo Ge
Nov 23, 2009, 9:54:04 PM11/23/09
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I want to estimate parameters in a ARMA-GARCH model by quasi-likelihood. But functions of the GARCH toolbox, such as garchfit, are all based on maximum likelihood.
How can I do the same thing under quasi-MLE? Do I have to programe it by myself? I just think someone else should have already solve it before. Many thx for your help!
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