New answers tagged


You can plot $\vert x_t \vert$ or $x^2$ just to see whether your data presents volatility clusters (periods in which volatility is high and other periods in which it is low). When you fit a GARCH model, you fit it simply on the $x_t$ series, not on the $\vert x_t \vert$ or $x^2$ series (as previously said in the comments): the likelihood algorithm will do ...

Top 50 recent answers are included