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  1. K

    Arima fitting

    According to you I need to fit an ARCH/GARCH model?
  2. K

    Arima fitting

    After fitted the best model, so white noise, I search for volatility clustering (and so arch/garch) The code is: plot(fitWhiteNoise$residuals^2, ylab="Squared residuals") pacf(fitWhiteNoise$residuals^2,main="Squared residuals") acf(fitWhiteNoise$residuals^2,main="Squared residuals")...
  3. K

    Arima fitting

    Thanks for the answer. How can I control if the autocorellation at lag 3 is significant enough? Moreover, looking at this graph do you think an ARCH/GARCH is necessary? Thanks!
  4. K

    Arima fitting

    Yes. The result is an ARMA(0,0). But the ARMA(0,0) do not remove the weak autocorrelation at lag 3
  5. K

    Arima fitting

    I have obtained these two plots using R, I have to fit a model and the trouble is choosing between an ARMA(0,0), and an AR3. The main issue is the autocorrelation at lag 3, is it enough significant to be considered in the analysis? The BIC of the two models is very similar. Moreover Residuals...