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GARCH for different time series

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GARCH for different time series

10 months ago
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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 

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365 Team 9 months ago
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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

Hi Chef, ok…so the best way is always to check the p-values and perform the LLR test. Right?Thanks in advance

– 9 months

Hey Luigi, I’d even focus more on the AIC in those cases. Just find whichever one has the lowest information criterion, while having significant coefficients. (That’s because the Log-likelihood is incorporated in the computation of the AIC)

– 9 months
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