ARCH WITHOUT MODEL

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luisafhc
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Joined: Sun May 15, 2011 1:33 pm

ARCH WITHOUT MODEL

Postby luisafhc » Sun Nov 06, 2011 9:33 am

HI!

I'm working with London Fix silver data prices, since 30/09/08 to 30/09/11.
I make Heteroskedastity Test - ARCH and Prob. Chi-Square is zero.

I'm looking for an ARCH model (maybe GARCH, TARCH, EGARCH) but i can't find one
To validate mean and variance equations, I analyse residual tests (correlogram and correlogram squared residuals respectively) but last p-values are zero (after 24 lags)

I really need to find one model, but i don't know what I'm doing wrong...

Someone have an idea how can i find this?

thanks a lot for any help...

Luisa.

PD: ATTACH SILVER WF

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silver.WF1
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