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Hi all, I am currently working on my master thesis and have to evaluate some GARCH-Modells. What I am wondering: How are the lags picked up for the Weighted LB-Test as well as for the ARCH LM Test...
Josh, I read it at least twice and there is not a single sentence about which lags are optimal to test against Ljung-Box-Test or Li-Mak-Test. Or do I miss anything? Am 22.10.2018 um 20...
Hi Amit, thanks for your quick reply. :) I invested today another 4 hours to find some adequate information, which lags should be tested. As well, I checked "Applied Econometric Time Series" from Enders to find some appropiate information to this...
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