GARCH distribution selection

For econometric discussions not necessarily related to EViews.

Moderators: EViews Gareth, EViews Moderator

hmurphy94
Posts: 9
Joined: Tue Aug 08, 2017 10:28 am

GARCH distribution selection

Postby hmurphy94 » Wed Sep 06, 2017 3:42 am

hi

in my models, if i use GED for the distribution the results come back fine. however in some cases i cant remove the autocorrelation or ARCH effects.

they remove however if i change to student t or normal distribution. however, are the results in valid if for one index or subperiod it is normally distributed and another it is student t / GED? should i keep the distribution consistent or does it matter?

thanks
hugh

Return to “Econometric Discussions”

Who is online

Users browsing this forum: Bing [Bot] and 5 guests