Maximum likelihood estimation of GARCH parameters (FRM T2-26)

[@bionicturtle]

I forgot to explicitly say in the video: the v(i) shown in the MLE equation is identical to the GARCH variance; i.e., v(i) = σ^2(i). The u^2(i) should be familiar as the daily return-squared (which, as mentioned, I suggest thinking of as simply a one-day variance). Also, Analytics Vidhya just happen to post a good on MLE (albeit this is not GARCH specific): trtl.bz/2Lctz19 ... if you find a great MLE tutorial article, please do share!

[@ramatallynadeem8750]

How to forecast volatility then?

[@DayOfMourningHasCome]

Thank you so much, Sir. Your channel is a blessing.

[@bigMtotheL123]

Awesome video found it very helpful

[@avinashmishra6783]

Please mention all constraints to be used in solver clearly.

[@investwithvincent6329]

That’s too easy of a question…using excel simply set the objective to “Max” subject to 3 constraints… 1) the yellow cells should be able to change 2) the weights equal 1 3) the weights should all be positive values

[@avinashmishra6783]

@@investwithvincent6329 Might be for you. But was difficult for me back then.

[@fars1d3s]

Curious how you calculate the variance in cell E9 = D8*D8 Why don't you use E9 = VAR.P(D8, D9) ??

[@Nelca24]

Hi Sir how u determine de Raw values for the Omega, Beta and Alpha? Is there a calibration or its just a theoric number?

[@vishnupp951]

Sir,How you got the Omega,Beta and Alpha values please reply me

[@panos7256]

Variance or Variance estimate?

[@investwithvincent6329]

I see that this example deals with just one asset, the s&p 500 index. What if I am observing a portfolio of 3 or more risky assets, how do I go about setting up the MLE model?

[@zibaouilaila8003]

hello guys please how do we calculate alfa and beta

[@Phl3xable]

I used to solver on my data set. Is it normal to get an omega of exactly 0? Would that matter in estimating volatility?

[@opheliaampaire5197]

How did you get the likelihood?

[@mfiras4033]

thank you very much !

[@bionicturtle]

Thank you for watching!

[@gonzalosyd8640]

Hi my friends. I have a one questions: whats is the meaning of alpha and beta adding 1 ?? (this is not the case with this video)

[@samrathore9396]

Superb

[@mcdonalds1499]

Oh my. You ve saved my life. Thank you!!

[@DamiensRegicide]

Are you able to share the solver password? Thank you.

[@lenskie9559]

Bro just casually carries my bachelor thesis

[@007ritvij]

Sir please share the link for excel file.

[@bionicturtle]

Link to XLS begins the description (see above), here also trtl.bz/2NlLn7d

[@yallowrosa]

GARCHs explain the volatility with ... the volatility

[@washingtonmhlanga3689]

Alpha +Beta should be less than one, in your example it was greater than one

[@davidharper7592]

it helps to listen to the video (yellow are rescaled "user friendly" values): beta 0.910121 + alpha 0.083390 < 1.0

[@ZahidRahimov]

I think it should be added as a constraint when use solver