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Jul
12
comment how do I loop through all the stocks with quantmod and ttr?
Thank you so much for your help!
Nov
5
comment How do I evaluate the suitability of a GARCH model?
OK, thank you very much!
Nov
5
comment How do I evaluate the suitability of a GARCH model?
Thank you very much!BTW, why do we need to increase q until autocorrelations of the error terms no longer significant?
Nov
4
comment How do I evaluate the suitability of a GARCH model?
To simplify, I only have two questions. The first one: GARCH is used to predict volatility. But, after we get the new return(or price) data, how well is the GARCH prediction? Is there any quantitative method to evaluate this? The second one: Once we decided to use GARCH(p,q), how do we choose the order p and q?(for example, if we choose (p,q)=(1,1), then why we do not choose(2,2) or whatever)