GARCH or MGARCH: Goodness of fit?
Posted: Thu Jan 29, 2009 1:39 am
For a linear regression model, we examine the R-square for the goodness-of-fit.
How about the GARCH model?
How about the M-GARCH model?
Likelihood function or other information criterion?
How about the GARCH model?
How about the M-GARCH model?
Likelihood function or other information criterion?