I have 100 Investment funds (Flexible allocation Morningstar category, same investment area, currency and distribution status: the sample is homogeneous) over a 10 yrs period. I want to estimate a model (AR/MA/ARMA) for the mean and for the variance (ARCH/GARCH) in order to study time dependency of this specific fund category. My doubt is: if i consider for the time series analysis, each fund alone, I probably will get 100 similar models (cause the sample is intentionally homogeneous); But I'm not sure of that!
In order to do so, is it better to consider a multivariate time series analysis or N univariate time series analyses?
NB I am sorry if my question isn't clear, english is not my first language, even less time series terminology.