Re: Maximization of ARMA-GARCH models

monnomiznogoud@xxxxxxxxxxxx wrote:
Anyone to help ?

On Jan 22, 5:57 pm, monnomiznog...@xxxxxxxxxxxx wrote:
I was wondering if the "value" of the found maximum is relevant
when
using different types of distribution for the innovations in the
maximization process of an ARMA-GARCH (or similar) model for a time
series like an asset return.

For example, if the log maximum of the function is let's say 1500
when using Student-t distribution and 1600 when using a Hyperbolic
distribution, does this mean that the Hyperbolic distribution is a
better fit or is there another "criterium" that is more relevant
for
choosing the distribution ?

This question has confused the issue by emphasizing "ARMA-GARCH". The
answer is the same for any models. Yes the likelihood can be used to
compare fitted models. Unfortunately there is no simple theory to tell
you how to do it. The main stuff in the literature goes under the
heading of "tesing separate families of hypotheses", A summary of the
approach is that you build a more extensive model that includes both
the models you have as special cases.

David Jones


.

Relevant Pages

  • Re: Maximization of ARMA-GARCH models
    ... maximization process of an ARMA-GARCH model for a time ... using Student-t distribution and 1600 when using a Hyperbolic ...
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  • Re: Random values from Hyberbolic Distribution on unit interval [0,1]
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  • Re: Maximization of ARMA-GARCH models
    ... innovations/errors makes another model out of the first one? ... ARMA-GARCHwith a GED distribution. ... when using Student-t distribution and 1600 when using a Hyperbolic ...
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