Name: econometrics fag 2010-06-22 15:57
hey
if you have some grasp on GARCH models maybe you can help me here
i have a time series(returs of down jones daily) that is serially uncorrelated and justifiably so( efficient market hypothesis)
but when i estimate a garch(1,1) model for it the standardized residuals are correlated again, while the squared standardized residuals are obviously not
do i need to enter an AR-Term to clear the autocorrelation or is that unnecessary
pic unrelated
if you have some grasp on GARCH models maybe you can help me here
i have a time series(returs of down jones daily) that is serially uncorrelated and justifiably so( efficient market hypothesis)
but when i estimate a garch(1,1) model for it the standardized residuals are correlated again, while the squared standardized residuals are obviously not
do i need to enter an AR-Term to clear the autocorrelation or is that unnecessary
pic unrelated