Necessary of ARMA mean equation in GARCH model

For econometric discussions not necessarily related to EViews.

Moderators: EViews Gareth, EViews Moderator

raisallubis
Posts: 3
Joined: Tue Apr 25, 2017 3:02 am

Necessary of ARMA mean equation in GARCH model

Postby raisallubis » Sun Apr 30, 2017 2:16 am

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?

Return to “Econometric Discussions”

Who is online

Users browsing this forum: No registered users and 21 guests