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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?

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  • $\begingroup$ 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 May 9 '15 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 May 9 '15 at 14:10
  • $\begingroup$ Need 15 rep, wish I could! :( $\endgroup$ – Harry May 9 '15 at 14:23

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