Modelling financial time series data.
My mean equation was an AR(1) process. Planning to forecast the data in-sample and I have a TGARCH with IC indicating it is a better model, but the p-value for the AR(1) is .0566, whereas an EGARCH model has a significant (5%) AR(1) value but its IC indicate the TGARCH is superior.
Which should I use? (Worth mentioning the aim is to have the best fit model)