I want to estimate the parameters and standard errors of the following ARMA/GARCH model:
##y_t=a+b y_{t−6}+cy_{t−8}+dϵ_{t−1}+ϵ_t##
##σ^2_t=ω+αϵ^2_{t−1}+βσ^2_{t−1}##The code I use is:
def main():
x0 = (0.01,0.01,0.01,0.01,0.01, 0.01, 0.01)
b = minimize(garch_loglike, x0, R_bel, bounds...
Hi,
I want to program an GARCH model for exchange rates. To do this, I calculated the residuals. Next, I did the following (in python)
def main():
vP0 = (0.1, 0.05, 0.92)
a = minimize(garch_loglike, vP0, eps, bounds = ((0.0001, None), (0.0001, None), (0.0001, None))...
<Moderator's note: LaTeX code edited.>
1. Homework Statement
Hi, I have a question.
I have a sequencing problem ##(N, \sigma_{0}##, ##\{p_{j}\}_{j\in J}, \{c_{i}\}_{i\in N})## with ##N = \{1,2,3\}## the set of players, and ##J = \{A,B,C,D,E,F\}## the set of jobs. The processing times of the...
Homework Statement
I have a question.
I have a function f(x,y,z) which is a continuous positive function in D = {(x,y,z); x^2 + y^2 +z^2<=1}. And let r = sqrt(x^2 + y^2 + z^2). I have to check whether the following jntegral is convergent.
x^2y^2z^2/r^(17/2) * f(x,y,z)dV.
Homework Equations...
Homework Statement
I have a question. I need to know the integral dxdydz/(y+z) where x>=0, y>=0, z>=0.Homework Equations
It is bounded by x + y + z = 1. The transformations I need to use are x=u(1-v), y=uv(1-w), z=uvw.
The Attempt at a Solution
y+z = uv. J = uv(v-v^2+uv)
So I get the integral...
Homework Statement
I have a set I = {x from R3 : x1<1 v x1>3 v x2<0 x x3>-1}
Homework Equations
Open disc
B (x,r)
(sqrt (x-x0)^2 + (y-y0)^2) < r
The Attempt at a Solution
I have done, for example by x1<1, that let r = 1-x1
Then sqrt ((x-x1)^2 + (y-y1)^2) < sqrt (x-x1)^2) < r = 1-x1
So |x-x1|...
1. I have to show that
S1 = {x ∈ R2 : x1 ≥ 0,x2 ≥ 0,x1 + x2 = 2}
is a bounded set.2. So I have to show that sqrt(x1^2+x2^2)<M for all (x1,x2) in S1.3. I have said that M>0 and we have 0<=x1<=2 and 0<=x2<=2.
And x2 = 2-x1
We can fill in sqrt(x1^2 + (2-x1)^2) = sqrt (0^2 + (2-0)^2) = 2 < M = 3...