Hello Mr. Li,
Thank you very much for the book reference,
equations 6.34 and 6.35 describe exactly what
I am looking for.
The book also mentions the Matlab garchFit function,
I am trying to create/implement the same functionality
in the .NET/C# domain :
1. Use ARMA to model a timeseries
2. Use Garch to model the ARMA residuals
3. Reestimate the ARMA parameters by using the result from step 2.
4. Continue the loop of steps 1 – 3 until the error is minimized (smaller
then some epsilon threshold) or until the likelihood is maximized.
Your library provides the basic building blocks, which are the ARMA
and the GARCH models separately, I would like to build a layer on top
of them which uses them as I described in the steps above.
I would be very grateful if you could advise me or give some pointers
on how this can be done using your library.