I have a financial time series, exchange rates.
Between ARCH(10) and GARCH(1,1) I would like to see which model fits best my TS. For ARCH I have a p-value smaller than 0.05 and for GARCH p-value is bigger than 0.05. I know what to do with the null hypothesis but my question is: for ARCH I have a smaller AIC value. Shoul I choose the ARCH model, despite the fact that I reject my null hypothesis?

  • $\begingroup$ Your question fits in a not-so-small group of questions of model selection based on AIC vs. p-value. I do not think it is conceptually different from these questions and therefore is a duplicate of one or more of them. Consider reviewing these questions first. See e.g. the answers in this thread. $\endgroup$ – Richard Hardy Jul 8 '20 at 18:47
  • $\begingroup$ thank you very much! $\endgroup$ – Raluca lok Jul 18 '20 at 19:47
  • $\begingroup$ So has your question been answered, or are you still looking for an answer? If you found a duplicate, could you link it here? $\endgroup$ – Richard Hardy Aug 18 '20 at 15:59

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