New answers tagged modeling
I would suggest you to forecast the series using different models and to determine which one is the best accordingly loss functions such as RMSE, MAPE.. or using the Mincer-Zarnowitz regression . You could also compare one-step forecast versus dynamic forecast. Another way is to compute VaR and observe the model having the lowest failure rate. AIC/BIC ...
Did you try rmgarch package of R ? http://cran.r-project.org/web/packages/rmgarch/index.html http://unstarched.net/r-examples/rmgarch/mgarch-comparison-using-the-hong-li-misspecification-test/
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