GARCH (1,1)-M

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startz
Non-normality and collinearity are NOT problems!
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Joined: Wed Sep 17, 2008 2:25 pm

Re: GARCH (1,1)-M

Postby startz » Mon Jun 10, 2013 12:51 pm


So really if I check for autocorrelation and the correlogram shows my dependent variable is autocorrelated should I just ignored this because it would not make sense to include y(-1) as an independent variable. Should I just rearrange the way my data is ordered?
No, you really need to figure out why you're getting the result you're seeing.
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