How to compare GARCH models?

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T27667
Posts: 3
Joined: Thu Oct 11, 2012 12:29 pm

How to compare GARCH models?

Postby T27667 » Thu Oct 11, 2012 1:59 pm

I have estimated various GARCH models and now I want to find the model that fits the data most accurately. Can I just compare the log-likelihood values of the models and conclude that the model with the highest value fits the data most accurately?

coalexander
Posts: 815
Joined: Sun Sep 28, 2008 10:30 pm

Re: How to compare GARCH models?

Postby coalexander » Sun Oct 14, 2012 3:20 pm

This depends on the application. Chapter 8 of Volume II deals exclusively with this issue. Best Wishes, Carol

T27667
Posts: 3
Joined: Thu Oct 11, 2012 12:29 pm

Re: How to compare GARCH models?

Postby T27667 » Tue Oct 16, 2012 11:24 pm

okay thank you. can you send me a link because I'm not sure where to find chapter 8 of vol 2

coalexander
Posts: 815
Joined: Sun Sep 28, 2008 10:30 pm

Re: How to compare GARCH models?

Postby coalexander » Wed Oct 17, 2012 7:10 am



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