All Questions
1 question
1
vote
2
answers
3k
views
Optimal lag length selection criterion in GARCH(p,q) model using MATLAB
As assessed by the title, I'm trying to estimate a GARCH(p,q) model to forecast stock market volatility and, in order to be able to do that, I've to identify the optimal number of lags, p and q, to ...
- 2,506