I have estimate monthly data of exchange rate by GARCH model and resulted ARMA (6,8) as the best model among others. Since the lag is too long, it might be presence of some data problems.
Do we need to put our best ARMA model in our estimation to find the GARCH model?
Search found 3 matches
- Sun Apr 30, 2017 2:16 am
- Forum: Econometric Discussions
- Topic: Necessary of ARMA mean equation in GARCH model
- Replies: 0
- Views: 2133
- Wed Apr 26, 2017 1:57 am
- Forum: Econometric Discussions
- Topic: Cointegration and SVAR
- Replies: 0
- Views: 1923
Cointegration and SVAR
If there is cointegration in our data, should we apply SVAR or not? What was the reason behind it?
- Wed Apr 26, 2017 1:14 am
- Forum: Add-in Support
- Topic: Making Fan Chart with SVAR forecast
- Replies: 0
- Views: 3350
Making Fan Chart with SVAR forecast
I have resulted Structural VAR analysis forecast of exchange rate shock on CPI and PPI, however I found difficult to make a fan chart of my forecast.
may someone give me recommendations?
may someone give me recommendations?