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Results tagged with garch
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user 130891
A model for time series in which the conditional variance is time-varying and autocorrelated.
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Can oil price volatilily be used as an explanatory variable?
I am using a GARCH approach to model volatility of the FTSE. … Now, if I want to know if the oil price volatility has an impact on FTSE's volatilty, can I use the returns on oil price as a variance regressor in my GARCH model? …
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Could GARCH models be used to deal with serial correlation?
GARCH models are used to model heteroskedasticity (in variance).
I was just wondering wheter they could be used to deal with serial correlation too. … As we know in fact, sometimes it is sufficient to model a time series as a garch(1,1) in order to get a good explanatory model, free from autocorrelation and heterosk. …
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