Initial point selection in MLE of GARCH
2 次查看(过去 30 天)
显示 更早的评论
I want to estimate a simple GARCH(1, 1) model with maximum likelihood estimation. I wrote the log likelihood function. I minimize the minus of it by using "fminunc" function. But I got different results for different initial values. My first question is that how can I selct the correct initial point?
I check the Econometrics Application of Matlab. It gives me good result but I want to understand how this app selects the inital point or how does it estimate?
0 个评论
回答(0 个)
另请参阅
类别
在 Help Center 和 File Exchange 中查找有关 Conditional Variance Models 的更多信息
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!