I'm working with data that includes the returns on a financial asset and 10 other variables (for example Google-searches). My aim is to test which of these factors affect the return (not the volatility). ARMA+GARCH is the model I am supposed to use for this study.
My questions are as follows:
- Will the model, which I run in R, test the impact of all the variables, or do I need to test them separately?
- Also, is there anything I should take into account about my data? My returns are log returns, but I could use percent-returns instead.
- Is it possible to test with different lags?