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About Garch models
2 messages · jaimie villanueva, Patrick Burns
You should *not* believe the Ljung-Box test. For an explanation of why, see: http://www.portfolioprobe.com/2012/07/06/a-practical-introduction-to-garch-modeling/ Pat
On 18/09/2012 11:55, jaimie villanueva wrote:
Hi R users, I'm trying to fit an ARMA or GARCH or ARMA/GARCH model over a financial time series of daily Log returns. I've followed the same procedure as most texts are recommending in order to check whether an autocorrelation structure exist (either on residuals or squared residuals) or not. After run the Ljung-Box and LM ARCH test over squared residuals and I realise that NO autocorrelation structure exist, I supposed that, if i try to fit a GARCH model the fitting results would be quite useless. Instead of that, I've found that the fitting was pretty good. The question is: Should I go ahead with the GARCH model or Should i belive the Ljung-Box and LM ARCH test ?. Thanks in advance. Jaimie [[alternative HTML version deleted]]
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Patrick Burns patrick at burns-stat.com http://www.burns-stat.com http://www.portfolioprobe.com/blog twitter: @portfolioprobe