Search found 1 match
- Mon Dec 08, 2014 10:03 am
- Forum: Programming
- Topic: Garch Selection
- Replies: 5
- Views: 7214
Re: Garch Selection
Hi, I'm using the above code to select the best GARCH. The problem is it picks the one with the lowest AIC which may sometimes have negative coefficients for arch and garch terms. For example garch(2,2) has the lowest AIC but a negative coefficient for the garch term, while garch(1,1) has higher AIC...