Question
fter fitting the GARCH(1,1) model to daily returns on the broad stock-market index a researcher found that the autocorrelation function (ACF) of the residuals,?t ,
fter fitting the GARCH(1,1) model to daily returns on the broad stock-market index a researcher found that the autocorrelation function (ACF) of the residuals,?t
, indicated a series of positive autocorrelations outside the 95% confidence interval and tapering off to zero at longer lags. Suggest and explain an appropriate adjustment to the GARCH(1,1) model in response to this analysis?
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Rethinking Macroeconomics
Authors: John F McDonald
2nd Edition
1000434699, 9781000434699
