I would fit the data with various (r,p) arma models with the
the desired garch assumption on the evolution of the variance
and consider both the likelihood ratios and autocorrelation
of the standardized residuals to determine the best model
to fit the data. I have code for this if you want (although it is
for multivariate problems and so is inefficient for univariariate garch.)
Dave
Daan Taks wrote:
> I have a question about my residuals. When testing for autocorrelation
> I come to the conclusion that the models (garch, Egarch, GJR a.k.a.
> Tarch) remove the correlation from the squared standardized residuals
> but not from the standardized residuals. Are my models misspecified??
> I use returns from the FTSE, the DAX, and the S&P. These returns are
> (heavily) correlated, should a garch model remove the correlation of
> the returns? Or should it only remove the correlation of the squared
> returns??
> Thanks.
--
Dave Fournier, Otter Research Ltd
PO Box 2040, Sidney, B.C. V8L 3S3, Canada
250-655-3364
email: [EMAIL PROTECTED] http://otter-rsch.com
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