ARCH/GARCH
Posted: Fri Dec 04, 2009 12:07 pm
Hi I have a few questions regarding estimation using ARCH/GARCH models. First of all what does it mean if the AIC and BIC for an ARMA model ( with ARCH effects) are better than that for a GARCH model? Secondly how can I use ARCH/GARCH to test for a link between risk and returns if I'm given a series for returns on stock prices? Any help would be much appreciated.