Hello forum,
I have daily price data and I am fitting an AR-GARCH model to it. Because of
seasonality, I want the AR model to have terms AR(1), AR(5), AR(20), and AR(60)
. I then combine the AR model to GARCH(1,1).
In other words, I want to fit the AR model with terms[AR(1),AR(5),AR(20),
AR(60)] and GARCH(1,1) to my data.
That is. AR(1,5,20,60)-GARCH(1,1).
I'm not sure how to specify such model in R.
I need some help how to do this. Any hint, suggestion would be appreciated.
Kind Regards
Rick.
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