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- Mon Jan 26, 2015 8:31 pm
- Forum: Estimation
- Topic: ARCH & GARCH volatility
- Replies: 1
- Views: 2483
ARCH & GARCH volatility
Hi all, I am trying to model exchange rate volatility in the MYR/USD pair. So i created a logged returns series from the nominal exchange rates. Then I found that fitting an ar(5) model eliminates the autocorrelation in the residuals in the mean equation, while there still remains autocorrelation in...