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- Thu Jan 21, 2010 5:29 am
- Forum: Estimation
- Topic: Calculating Exchange Rate Volatility with GARCH
- Replies: 1
- Views: 6167
Re: Calculating Exchange Rate Volatility with GARCH
hi I am also facing same kind og problem. I know how to apply GARCH(1,1) and obtaining GARCH series as measure of volatility. but my question is if it is necessary to include AR terms before calculating GARCH(1,1) in the equation? One can see the example at following link (page 224) http://books.goo...