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What Are the Steps Required to Estimate an ARCH/GARCH Model

Question 16

Multiple Choice

What are the steps required to estimate an ARCH/GARCH model?


A) First specify the appropriate equations for the correlation and the variance, then specify LLF and the computer will generate parameter values that maximise the LLF
B) First specify the appropriate equations for the median and the variance, then specify LLF and the computer will generate parameter values that maximise the LLF
C) First specify the appropriate equations for the mean and the variance, then specify LLF and the computer will generate parameter values that maximise the LLF
D) None of the above

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