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- Fri Dec 04, 2009 12:07 pm
- Forum: Econometric Discussions
- Topic: ARCH/GARCH
- Replies: 0
- Views: 2759
ARCH/GARCH
Hi I have a few questions regarding estimation using ARCH/GARCH models. First of all what does it mean if the AIC and BIC for an ARMA model ( with ARCH effects) are better than that for a GARCH model? Secondly how can I use ARCH/GARCH to test for a link between risk and returns if I'm given a series...