Following represents the ARCH, GARCH and ARIMA modelling flowchart.
We must note one thing that if there is any existence of a serial correlation, we must opt for GARCH model.
Bonus: If you are using ARCH and GARCH through R, then these are the useful packages:
library(FinTS) for ARCH
library(rugarch) for GARCH
This is just a brief about ARCH and GARCH. Will discuss about this with an example, later (with reference to R, Eviews and Gretl).
Thank you
To be contd...
Aditya Pokhrel, Asst Director - NRB
MBA, MA Economics, MPA (rng)
No comments:
Post a Comment