How can I test the significance of estimated parameters with fmincon?
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Hello,
I am doing my research on a financial model called GARCH-MIDAS where the goal is to model the long-term component of stock returns volatility.
To do so, I need to estimate my model using a Maximum Likelihood procedure where I need to estimate 7 different parameters and I used fmincon command to do so.
My code is running and my results and satisfying but I need to test the significance of my estimated parameters and I don't know how to do it. When using fmincon, is there a way to compute the standard deviation of my estimated parameters or t-stats and how can we do it?
Thank you for your help and your consideration.
Best regards, Plakalo Zlatan
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