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LS Estimates aren't accurate

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dav
dav on 27 Feb 2013
Hello
Can you please help me correct this? I am not getting the correct estimates from the following code.

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Answers (1)

Tom Lane
Tom Lane on 28 Feb 2013
It looks like you are fitting an AR(160) model.
Aside from that, I can't figure out what you're trying to do. You appear to be generating a GARCH process. I don't see how the 0.01 and 0.95 values appear in your data generation process, but again I'm just not following.

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