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