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MMLU / Which of the following statements are true concerning maximum likelihood (ML)…

Problem

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question

Which of the following statements are true concerning maximum likelihood (ML) estimation in the context of GARCH models?

i) Maximum likelihood estimation selects the parameter values that maximise the

probability that we would have actually observed the values of the series y that we

actually did.


ii) GARCH models can only be estimated by ML and not by OLS


iii) For estimation of a standard linear model (with no GARCH), the OLS and ML

estimates for the slope and intercept parameters will be identical but the estimator

for the variance of the disturbances is slightly different


iv) Most computer packages use numerical procedures to estimate GARCH models

rather than a set of analytical formulae

choices

  1. (ii) and (iv) only
  2. (i) and (iii) only
  3. (i), (ii), and (iii) only
  4. (i), (ii), (iii), and (iv)

subject

econometrics

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Source and history

task_id
1557a686-e0ce-5098-b808-151d51330e73
task_key
all--test--1557a686-e0ce-5098-b808-151d51330e73
task_revision_id
1
config / split
all / test

Official source

initial import