# Questions tagged [garch]

A model for time series in which the conditional variance is time-varying and autocorrelated.

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### Is there any gold standard for modeling irregularly spaced time series?

In field of economics (I think) we have ARIMA and GARCH for regularly spaced time series and Poisson, Hawkes for modeling point processes, so how about attempts for modeling irregularly (unevenly) ...
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### On forecasting, the mean squared error and realized volatility

Say one has finished estimating a correctly specified GARCH(1,1) on a daily time series and now wants to evaluate the accuracy of the one step ahead forecasts what steps or tests could one do? I ...
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### ARMA/GARCH estimation in sequence

I have a time series that shows a nonstationary seasonal autoregressive component as well as known heteroshedasticity. In order to model the series, I have fit a seasonal ARIMA model for the mean with ...
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### Procedure for fitting an ARMA/GARCH Model

I want to try fitting an ARMA/GARCH model but want a methodological approach rather than fitting different models and picking the best one. However, I'm not sure how to choose my AR and MA terms for ...
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### What's the point of (G)ARCH when you can square the residual and use ARMA?

I'm taught that  \begin{aligned} X_t \sim \text{ARCH}(p) & \rightarrow X_t^2 \sim \text{AR}(p) \\ X_t \sim \text{GARCH}(p, q) & \rightarrow X_t^2 \sim \text{ARMA}(\max(p, q)...
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### Why fit ARMA before GARCH if I am interested in variance of the data, not the residuals?

I have been working on a time series where after the first difference, I observe heteroskedasticity. To handle the situation, I found that ARCH/GARCH models are used typically. When I read about the ...
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How to determine the lag length $q$ in the ARCH-LM test? If I set $q=1$, the result is homoscedastic (failed to reject H0). But if I set $q=4$ for example, the result is heteroskedastic (reject H0). ...