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Dear R-Users, I'm trying to estimate GARCH parameters implied by options prices (on wednesdays only) by minimizing the average mean squared dollar error between the market and the model price, but I always get the following error message...
Hello everyone, I'm trying to estimate the parameters of the returns series attached using the GARCH code below, but I get the following error message: Error in solve.default(Hessian) : system is computationally singular: reciprocal condition number = 0 Error...
Hello R-list-members, I'm trying to model ARMA(0,2) & GARCH(1,1) process using the code below, but according to my textbook, the estimated parameters are wrong. The MA-parameters should be negative. (I've got the...
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