## 2013/07/30

## 2013/07/22

### Static Parameter Estimation for the GARCH model

## Introduction

In this post, we review the online maximum-likelihood parameter estimation for GARCH model which is a dynamic variance model. GARCH can be seen as a toy volatility model and used as a textbook example for financial time series modelling.

categories:
machine learning,
maximum-likelihood,
optimization,
time series analysis