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hide-kg / Realized-GARCH

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Questions about the distribution of residual terms #1

Open MaojieYe opened 1 year ago

MaojieYe commented 1 year ago

hello，I carefully studied the source code of your realized EGARCH model and successfully obtained the results based on the data, but during the operation I had a question, what distribution does your code assume that the residual term obeys? What form does the distribution represent in the code?

hide-kg commented 1 year ago

Thank you for using my code to study. Actually, I wrote these codes few years ago, so I forget in details. But, I think I assumed that the residual term follows the normal distribution, because line 132 shows the log-likelihood of the normal distribution. If you want to know more detail, please check following papers. Hansen, Huang and Shek (2012) Realized GARCH: a joint model for returns and realized measures of volatility, Journal of Applied Econometrics, 27(6) Hansen and Huang (2016) Exponential GARCH modeling with realized measures of volatility, Journal of Business & Economic Statistics, 34(2)

MaojieYe commented 1 year ago

Thank you for your answer, it was very helpful to me and also gave me a deeper understanding of the theory and code. I'll also take a look at the paper in conjunction with your code. Thanks again for your reply！