Dear All,
Please, I am using the rugarch package for a univariate garch estimation. I learnt the optimal parameter estimation is based on MLE and the Robust standard error is based on QMLE. However, I have problem with choice of model since the MLE yields significant estimates and the QMLE yields insignificant estimates for some models but not all. Actually, I consider sGARCH, EGARCH and TGARCH.
Please, any assistance as to how to proceed further to select the best models? Should I consider the result based on the MLE only or QMLE.
Hope to hear from you all
regards,
Evelyn

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