Information Criteria for a GARCH model

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lar_0825
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Joined: Wed Nov 30, 2016 9:29 am

Information Criteria for a GARCH model

Postby lar_0825 » Mon Apr 03, 2017 2:26 am

Hello

Is there any way to use the aikake information criteria using GARCH errors, or a way to modify the aikake information criteria to use this formula in eviews ?

http://grapestat.se/sites/default/files ... hJaved.pdf - on page 4 of the PDF

I have tried autoselecting for an ARDL and switching over to a GARCH error term but it makes the majority of my variables insignificant, to the point where I can improve the model by adding and removing lags.

Please let me know how I can solve this !

Regards,

Lars

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