GARCH(1,1) vs. EGARCH(1,1)

Mohamad

6 de Fevereiro de 2013 17:00

Which one is more appropriate for my historical financial data I used?

1 comentário

Mohamad
17 de Fevereiro de 2013 20:47

For financial data, I will always use EGARCH because it treat the negative returns different than positive one (as evident in financial data).

0

Ações de comentário Permalink