Dear All, My name is Josephine, currently doing my postgraduate research degree. I am recently trying to learn GRETL to estimate my ACD (Autoregressive Conditional Duration), a model which shres similar concept to GARCH. While the latter concerns about modelling the hetero issue of mean equation, the former is about duration. Some suggests that I have to use Maximum Likelihood Estimation for estimate the conditional duration. I am also not sure how to estimate it given various assumption of residual distribution. It would be a great help for me and I will be very pleased to have anything related to this issue. Many thanks in advance for your kind attention.
Warm regards,
Josephine
Dear All,
My name is Josephine, currently doing my postgraduate research degree. I am recently trying to learn GRETL to estimate my ACD (Autoregressive Conditional Duration), a model which shres similar concept to GARCH. While the latter concerns about modelling the hetero issue of mean equation, the former is about duration. Some suggests that I have to use Maximum Likelihood Estimation for estimate the conditional duration. I am also not sure how to estimate it given various assumption of residual distribution. It would be a great help for me and I will be very pleased to have anything related to this issue. Many thanks in advance for your kind attention.
Warm regards,
Josephine
