maximum-likelihood-estimation
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YouTube T2-26: Maximum likelihood estimation of GARCH parameters
GARCH(1,1) is the popular approach to estimating volatility, but its disadvantage (compared to STDDEV or EWMA) is that you need to fit three parameters. Maximum likelihood estimation, MLE, is an immensely useful statistical approach that can be used to find "best fit" parameters. In this video...- Nicole Seaman
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- garch maximum-likelihood-estimation volatility
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- Forum: P1.T2 Quantitative Analysis