# How can i choose the optimal lag in GARCH-MIDAS?

I have to choose individual GARCH-MIDAS models for some variables. But the BIC value continues to decrease as I increase the lag (its even the case for k=70 and more which is unrealistic) so the BIC, only, isn't really helping.

Is there any condition to choose the maximum lag in GARCH MIDAS? (The significance of some parameter for instance.)

Our approach was to simply estimate the model for different values of $$k$$ and stop when the improvement in the log-likelihood was negligible.