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Search results with tag "Mean reverting"
Maximum likelihood estimation of mean reverting processes
www.investmentscience.comMaximum likelihood estimation of mean reverting processes Jos e Carlos Garc a Franco Onward, Inc. jcpollo@onwardinc.com Abstract Mean reverting processes are frequently used models in …
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