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  • Garch

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    Josue Kouakou
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    This document discusses time series analysis and modeling autocorrelation. It includes commands to plot a time series and its differences, test for autocorrelation, and check if an autoregressive or moving average model is appropriate if lags are significant by minimizing residuals through GARCH.

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    garch.txt

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    This document discusses time series analysis and modeling autocorrelation. It includes commands to plot a time series and its differences, test for autocorrelation, and check if an autoregressive or moving average model is appropriate if lags are significant by minimizing residuals through GARCH.

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    © All Rights Reserved
    Download as TXT, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    10 views1 page

    Garch

    Uploaded by

    Josue Kouakou
    This document discusses time series analysis and modeling autocorrelation. It includes commands to plot a time series and its differences, test for autocorrelation, and check if an autoregressive or moving average model is appropriate if lags are significant by minimizing residuals through GARCH.

    Copyright:

    © All Rights Reserved
    Download as TXT, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    of 1

    plot tsline var

    plot ts line diff var


    test autocorrelation H0 autocorrelation
    faire (y-mean y)^2 faire un AC ou PAC si lag significatif garch appropri

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