For a linear regression model, we examine the R-square for the goodness-of-fit.
How about the GARCH model?
How about the M-GARCH model?
Likelihood function or other information criterion?
Search found 2 matches
- Thu Jan 29, 2009 1:39 am
- Forum: Econometric Discussions
- Topic: GARCH or MGARCH: Goodness of fit?
- Replies: 0
- Views: 3537
- Thu Jan 29, 2009 1:22 am
- Forum: Econometric Discussions
- Topic: Univariate GARCH(1,1): Which mean eq spec is right?
- Replies: 1
- Views: 6748
Univariate GARCH(1,1): Which mean eq spec is right?
Let's say I try to estimate a univariate GARCH(1,1) with two different specifications of the mean equation. Specification 1: Mean equation: y_t = Constant + e_t, Variance equation = GARCH(1,1) Specification 2: Mean equation: y_t = Constant + y_t-1+e_t-1 + e_t , Variance equation = GARCH(1,1) (Note: ...