GARCH or MGARCH: Goodness of fit?

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garchrookie
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Joined: Fri Jan 23, 2009 3:09 pm

GARCH or MGARCH: Goodness of fit?

Postby garchrookie » Thu Jan 29, 2009 1:39 am

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?
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