GARCH for different time series
in the video is specified that GARCH (p = 1, q = 1) is the best for returns, but higher q may be good for different time series. What kind of time series. Thanks
1 answers ( 0 marked as helpful)
Hey Luigi,
It really depends what you're measuring. You could be measuring the rainfalls over a specific geographical region over time, or the results from a clinical trial of a new drug. In both those cases you can have time series data, which might (I don't know if it will) exhibit qualities best described by a higher-level GARCH model.
Best,
365 Vik
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