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Thread: Std error calculations for estimated parameters

  1. #1
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    Std error calculations for estimated parameters

    Hi everyone, following this paper https://pdfs.semanticscholar.org/29e...668.1535448701 , I estimated the ARJI-GARCH model with MATLAB and so I end up with a vector of estimated parameters. It is not the classical regression function, I started with a time series and I minimized (then inverted the sign) the log-likelihood function with fminsearch.

    Now I have to compute the t-stat for the parameters, MATLAB functions are not suitable for some reasons so I am finding a way to compute the standard errors of the parameters. Could anyone help me?

    Tank you in advance and sorry for my imperfect english.
    Last edited by AntoGr; Aug 30th 2018 at 03:06 AM.
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