Necessary of ARMA mean equation in GARCH model
Posted: Sun Apr 30, 2017 2:16 am
I have estimate monthly data of exchange rate by GARCH model and resulted ARMA (6,8) as the best model among others. Since the lag is too long, it might be presence of some data problems.
Do we need to put our best ARMA model in our estimation to find the GARCH model?
Do we need to put our best ARMA model in our estimation to find the GARCH model?