Tagged Questions
1
vote
1answer
47 views
Different results between Box-Ljung test and ARCHLM test?
I fitted a garch model using the rugarch package. The output (extract) is as follows:
Now I have trouble interpreting the results of Q-Statistics?
First of all to test the mean equation, we look at ...
9
votes
1answer
207 views
Is a linear combination of GARCH processes also a GARCH process?
If two time series follow a GARCH process, and a third is a linear combination of them, is the third also GARCH process?
6
votes
2answers
2k views
How GARCH/ARCH models are useful to check the volatility?
Below a R code wrote by the moderator @richardh (whom I want to thank again) about ARCH/GARCH models.
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