Fitting GARCH model

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harshani
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Joined: Fri Oct 02, 2015 8:08 pm

Fitting GARCH model

Postby harshani » Sat Oct 03, 2015 11:41 pm

Hi.... Sorry about my English.
I'm a final year student. my research is forecasting petrol demand. i want to fit GARCH model. i am using 260 weekly data. IS there a method in EVIEWS to find optimal lag to fit GARCH model. My data set has only one variable. plzz reply me...
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EViews Gareth
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Re: Fitting GARCH model

Postby EViews Gareth » Sun Oct 04, 2015 8:30 am

No, EViews will not automatically determine the best lag.
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harshani
Posts: 2
Joined: Fri Oct 02, 2015 8:08 pm

Re: Fitting GARCH model

Postby harshani » Sun Oct 04, 2015 10:19 am

So how should i select lags. What is the maximum value that lag can take.
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EViews Gareth
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Re: Fitting GARCH model

Postby EViews Gareth » Sun Oct 04, 2015 10:21 am

You will have to use economic theory to judge.
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