0
$\begingroup$

Is there anyway to check if a proposed ARCH/GARCH/EGARCH model fits well? I have used AIC/BIC critereon to select an optimal model, but how do I know if it is "doing its job"?

To compare, for simple linear regression you can check the residuals of a proposed model to see if they are normal - giving clues as to how much your model has explained.

Is there anything similar for ARCH/GARCH/EGARCH?

Improve this question
$\endgroup$
3
  • $\begingroup$ Have you checked the following answers? This and this. There have been more discussions, just search for the questions and answers tagged with ARCH or GARCH tags. $\endgroup$
    – Richard Hardy
    Commented May 9, 2015 at 14:07
  • $\begingroup$ I did search but most of the questions didnt seem to ask what I wanted to know. I didn't think of reading the answers anyway. The answer in that first link is amazing, many thanks! $\endgroup$
    – Harry
    Commented May 9, 2015 at 14:10
  • $\begingroup$ Need 15 rep, wish I could! :( $\endgroup$
    – Harry
    Commented May 9, 2015 at 14:23

0

Reset to default

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service and acknowledge you have read our privacy policy.

Browse other questions tagged or ask your own question.