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

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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Luigi Giugliano

Last answered:

April 07, 2020

Posted on:

April 06, 2020

GARCH for different time series

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Viktor Mehandzhiyski

Posted on:

April 07, 2020

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