Comparing GARCH Models
Posted: Sun Aug 03, 2014 10:44 pm
Hi, I'm a newbie in this ARCH and GARCH models.
Currently, I'm writing thesis about stop loss level using Value at Risk in EUR/USD trading. I made several volatility models using ARCH, GARCH and EGARCH but i'm not really sure in choosing the best model. Right now, I compare the models only from log likehood and AIC but i'm not pretty sure. Can anyone suggest me what other parameters should i look at?
I've attached my workfile. I really appreciate your help. Thank you.
Currently, I'm writing thesis about stop loss level using Value at Risk in EUR/USD trading. I made several volatility models using ARCH, GARCH and EGARCH but i'm not really sure in choosing the best model. Right now, I compare the models only from log likehood and AIC but i'm not pretty sure. Can anyone suggest me what other parameters should i look at?
I've attached my workfile. I really appreciate your help. Thank you.