GARCHSEMIPARAM—Semi-parametric GARCH estimation
Posted: Tue Aug 13, 2024 9:33 am
GARCHSEMIPARAM.RPF estimates a univariate GARCH(1,1) model with an empirically derived density function for the errors. This is "semi-parametric" because the basic GARCH model has the standard parameterization; this is combined with a non-parametric treatment of the error density.
Detailed Description
Detailed Description