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Likelihood Estimation Of Mean Reverting
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GARCH 101: An Introduction to the Use of ARCH/GARCH …
web-static.stern.nyu.eduThus the GARCH models are mean reverting and conditionally heteroskedastic but have a constant unconditional variance. I turn now to the question of how the econometrician can possibly estimate an equation like the GARCH(1,1) when the only variable on which there are data is r t. The simple answer is to use Maximum Likelihood by substituting ht for
Lecture 5a: ARCH Models - Miami University
www.fsb.miamioh.edumean-reverting (choppy), which signifies stationarity. • The sample average for daily return is almost zero mean(r) [1] 0.0005303126 So on average, you can not make (or lose) money by using the “buying yesterday and selling today” strategy for this stock in this period. 31