Recent content by shenxw88

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    Question about finding MLE asymptotic standard error in AR(1)-garch(3,1) model in SAS

    The AR(1)-GARCH(3,1) model is as follows: Y(t) = e(t) - phi * Y(t-1) ---> AR(1), where phi is the parameter e(t) = sqrt(h(t)) * error(t) ---> error(t) follows N(0,1) iid h(t) = w + alpha * [e(t-1)**2] + gamma1 * h(t-1) + gamma2 * h(t-2) + gamma3 * h(t-3) ---> GARCH(3,1), where w, alpha...