Box jenkins problem trying find to best fit model

Discussions of ARCH, GARCH, and related models
Post Reply
TomDoan
Posts: 7826
Joined: Wed Nov 01, 2006 4:36 pm

Re: Box jenkins problem trying find to best fit model

Unread post by TomDoan »

If you're confused about how to deal with the insignificant MA(2) term, you should talk to a faculty member.
Top
GaryM26
Posts: 15
Joined: Mon Jul 23, 2012 5:08 am

Re: Box jenkins problem trying find to best fit model

Unread post by GaryM26 »

You might want to try using t rather than Normal errors (DISTRIB=T) option, given the high kurtosis on the standardized residuals.
Hi Tom, When your using the T distribution option, under it in the shape box what do i put? Is it the degrees of freedom. my Obs are 1999
Top
TomDoan
Posts: 7826
Joined: Wed Nov 01, 2006 4:36 pm

Re: Box jenkins problem trying find to best fit model

Unread post by TomDoan »

How many data points you have has nothing to do with that. Leave it blank and let it be estimated.
Top
Post Reply

Return to “ARCH and GARCH Models”