Timeline for Fitted GARCH conditional mean values lag by 1
Current License: CC BY-SA 3.0
9 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| Feb 22, 2016 at 17:09 | comment | added | Richard Hardy | I am only glad I could help! | |
| Feb 22, 2016 at 16:41 | comment | added | Hannah | That makes sense, I really appreciate your help in this matter. Thank-you! | |
| Feb 22, 2016 at 16:39 | vote | accept | Hannah | ||
| Feb 22, 2016 at 7:14 | comment | added | Richard Hardy | But these actually look more like the fitted values from the conditional variance model... Anyway, GARCH(1,1) is somewhat similar to ARMA(1,1), and often the "autoregressive" coefficient in GARCH(1,1) is close to 1 while the "moving average" coefficient is close to zero, hence producing a behaviour similar to AR(1) with a near-unit-root. | |
| Feb 21, 2016 at 21:25 | history | edited | Hannah | CC BY-SA 3.0 |
edited title
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| Feb 21, 2016 at 21:24 | vote | accept | Hannah | ||
| Feb 21, 2016 at 21:29 | |||||
| Feb 21, 2016 at 9:49 | comment | added | Richard Hardy | If these are fitted values from the conditional mean model, you should perhaps change the title (as GARCH mainly concerns the conditional variance rather than the conditional mean). | |
| Feb 21, 2016 at 9:47 | answer | added | Richard Hardy | timeline score: 1 | |
| Feb 20, 2016 at 21:51 | history | asked | Hannah | CC BY-SA 3.0 |