Hi,
I was wondering is there any way to know it is better to use t or GED for the error in ARCH/GARCH model estimation?
It seems I can't do empirical distribution test for t or GED for my data.
Thanks in advance!
Search found 1 match
- Thu Mar 17, 2016 7:45 pm
- Forum: Estimation
- Topic: Goodness of fit for error distribution in ARCH model
- Replies: 1
- Views: 2528