I have tried multiple GARCH model variations to remove financial time series characteristics from my dataset. I mainly tried ARMA(1,1),sGARCH models with normal distribution. My standardized residuals and squared standardized residuals don't show serial correlation anymore, which is good. However, the values for the goodness of fit test are always 0 or a very small number, which I think indicates that the model choice is not appropriate. What GARCH specification should I use? (my dataset is a financial time series of daily relative spreads, so the spreads divided by the mean of ask en bid price of that day)
What GARCH model do I use for relative spread series?
23 views Asked by ameliedc At
0
There are 0 answers
Related Questions in TIME-SERIES
- in R, recovering strings that have been converted to factors with factor()
- How to reinstall pandoc after removing .cabal?
- How do I code a Mixed effects model for abalone growth in Aquaculture nutrition with nested individuals
- How to save t.test result in R to a txt file?
- how to call function from library in formula with R type provider
- geom_bar define border color with different fill colors
- Different outcome using model.matrix for a function in R
- Creating a combination data.table in R
- Force specific interactions in Package 'earth' in R
- Output from recursive function R
Related Questions in FINANCE
- in R, recovering strings that have been converted to factors with factor()
- How to reinstall pandoc after removing .cabal?
- How do I code a Mixed effects model for abalone growth in Aquaculture nutrition with nested individuals
- How to save t.test result in R to a txt file?
- how to call function from library in formula with R type provider
- geom_bar define border color with different fill colors
- Different outcome using model.matrix for a function in R
- Creating a combination data.table in R
- Force specific interactions in Package 'earth' in R
- Output from recursive function R
Related Questions in SPREAD
- in R, recovering strings that have been converted to factors with factor()
- How to reinstall pandoc after removing .cabal?
- How do I code a Mixed effects model for abalone growth in Aquaculture nutrition with nested individuals
- How to save t.test result in R to a txt file?
- how to call function from library in formula with R type provider
- geom_bar define border color with different fill colors
- Different outcome using model.matrix for a function in R
- Creating a combination data.table in R
- Force specific interactions in Package 'earth' in R
- Output from recursive function R
Related Questions in FGARCH
- in R, recovering strings that have been converted to factors with factor()
- How to reinstall pandoc after removing .cabal?
- How do I code a Mixed effects model for abalone growth in Aquaculture nutrition with nested individuals
- How to save t.test result in R to a txt file?
- how to call function from library in formula with R type provider
- geom_bar define border color with different fill colors
- Different outcome using model.matrix for a function in R
- Creating a combination data.table in R
- Force specific interactions in Package 'earth' in R
- Output from recursive function R
Popular Questions
- How do I undo the most recent local commits in Git?
- How can I remove a specific item from an array in JavaScript?
- How do I delete a Git branch locally and remotely?
- Find all files containing a specific text (string) on Linux?
- How do I revert a Git repository to a previous commit?
- How do I create an HTML button that acts like a link?
- How do I check out a remote Git branch?
- How do I force "git pull" to overwrite local files?
- How do I list all files of a directory?
- How to check whether a string contains a substring in JavaScript?
- How do I redirect to another webpage?
- How can I iterate over rows in a Pandas DataFrame?
- How do I convert a String to an int in Java?
- Does Python have a string 'contains' substring method?
- How do I check if a string contains a specific word?
Popular Tags
Trending Questions
- UIImageView Frame Doesn't Reflect Constraints
- Is it possible to use adb commands to click on a view by finding its ID?
- How to create a new web character symbol recognizable by html/javascript?
- Why isn't my CSS3 animation smooth in Google Chrome (but very smooth on other browsers)?
- Heap Gives Page Fault
- Connect ffmpeg to Visual Studio 2008
- Both Object- and ValueAnimator jumps when Duration is set above API LvL 24
- How to avoid default initialization of objects in std::vector?
- second argument of the command line arguments in a format other than char** argv or char* argv[]
- How to improve efficiency of algorithm which generates next lexicographic permutation?
- Navigating to the another actvity app getting crash in android
- How to read the particular message format in android and store in sqlite database?
- Resetting inventory status after order is cancelled
- Efficiently compute powers of X in SSE/AVX
- Insert into an external database using ajax and php : POST 500 (Internal Server Error)