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Results tagged with garch
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user 6993
A model for time series in which the conditional variance is time-varying and autocorrelated.
2
votes
Does the GARCH approach model prices or returns?
The same sort of logic applies to garch -- except maybe even more so. …
- 1,047
3
votes
How to interpret coefficients from a GARCH model?
The output says that a2 is really insignificant.
What you have is (essentially) a hypothesis test that assumes homoscedasticity and can be rejected so that you would infer there really is heterosceda …
- 1,047
1
vote
How to understand if the variance is constant reading GARCH model output?
A hint in the output is that neither a1 nor b1 are significantly different from zero. Another way to tell would be to do a Ljung-Box test on the squares of the original data.
- 1,047
5
votes
Accepted
Automated parameter selection for a GARCH model, in a similar manner to the forecast package
My experience with equities suggested that if you are confined to garch(p,q), then garch(1,1) is what you will want. … Using a components model (Lee and Engle) is better -- it is sort of like a garch(2,2) but not quite the same. …
- 1,047