Confidence interval for a GARCH model with R[Time Series problem]
$begingroup$
I have the following problem:
Given a data file, I have to propose a good model for it, so I have started with an auto.arima()
mod1 <- auto.arima(data$x)
And it proposed an ARIMA(3,2), I have checked the acf, pacf and eacf
acf(data$x)
pacf(data$x)
eacf(data$x)
And after looking at residual and quadratic residuals, I have concluded that residuals are not correlated while quadratic residuals are, so I have proposed a supposed better model, namely, a GARCH(0,1).
mod2<-garch(data, order=c(0,1), include.mean=F)
I've tried several orders, but (0,1) was the one which gave the minimum AIC, so I've chosen a Garch(0,1). Based on this new model I just constructed, I have to find a confidence interval for all the observations (I understant that all the observations must fall into the confidence interval) and then plot it with the original observations and then conclude whether or not my proposed model is a good or a bad model. I don't know how to approach this part of the problem, how do I construct the interval?
Thanks in advice for the help.
statistics time-series
asked Jan 8 at 22:13
A LawlietA Lawliet
242
$endgroup$
add a comment |
$begingroup$
I have the following problem:
Given a data file, I have to propose a good model for it, so I have started with an auto.arima()
mod1 <- auto.arima(data$x)
And it proposed an ARIMA(3,2), I have checked the acf, pacf and eacf
acf(data$x)
pacf(data$x)
eacf(data$x)
And after looking at residual and quadratic residuals, I have concluded that residuals are not correlated while quadratic residuals are, so I have proposed a supposed better model, namely, a GARCH(0,1).
mod2<-garch(data, order=c(0,1), include.mean=F)
I've tried several orders, but (0,1) was the one which gave the minimum AIC, so I've chosen a Garch(0,1). Based on this new model I just constructed, I have to find a confidence interval for all the observations (I understant that all the observations must fall into the confidence interval) and then plot it with the original observations and then conclude whether or not my proposed model is a good or a bad model. I don't know how to approach this part of the problem, how do I construct the interval?
Thanks in advice for the help.
statistics time-series
asked Jan 8 at 22:13
A LawlietA Lawliet
242
$endgroup$
add a comment |
$begingroup$
I have the following problem:
Given a data file, I have to propose a good model for it, so I have started with an auto.arima()
mod1 <- auto.arima(data$x)
And it proposed an ARIMA(3,2), I have checked the acf, pacf and eacf
acf(data$x)
pacf(data$x)
eacf(data$x)
And after looking at residual and quadratic residuals, I have concluded that residuals are not correlated while quadratic residuals are, so I have proposed a supposed better model, namely, a GARCH(0,1).
mod2<-garch(data, order=c(0,1), include.mean=F)
I've tried several orders, but (0,1) was the one which gave the minimum AIC, so I've chosen a Garch(0,1). Based on this new model I just constructed, I have to find a confidence interval for all the observations (I understant that all the observations must fall into the confidence interval) and then plot it with the original observations and then conclude whether or not my proposed model is a good or a bad model. I don't know how to approach this part of the problem, how do I construct the interval?
Thanks in advice for the help.
statistics time-series
asked Jan 8 at 22:13
A LawlietA Lawliet
242
$endgroup$
I have the following problem:
Given a data file, I have to propose a good model for it, so I have started with an auto.arima()
mod1 <- auto.arima(data$x)
And it proposed an ARIMA(3,2), I have checked the acf, pacf and eacf
acf(data$x)
pacf(data$x)
eacf(data$x)
And after looking at residual and quadratic residuals, I have concluded that residuals are not correlated while quadratic residuals are, so I have proposed a supposed better model, namely, a GARCH(0,1).
mod2<-garch(data, order=c(0,1), include.mean=F)
I've tried several orders, but (0,1) was the one which gave the minimum AIC, so I've chosen a Garch(0,1). Based on this new model I just constructed, I have to find a confidence interval for all the observations (I understant that all the observations must fall into the confidence interval) and then plot it with the original observations and then conclude whether or not my proposed model is a good or a bad model. I don't know how to approach this part of the problem, how do I construct the interval?
Thanks in advice for the help.
statistics time-series
statistics time-series
asked Jan 8 at 22:13
A LawlietA Lawliet
242
asked Jan 8 at 22:13
A LawlietA Lawliet
242
asked Jan 8 at 22:13
A LawlietA Lawliet
242
asked Jan 8 at 22:13
A LawlietA Lawliet
242
asked Jan 8 at 22:13
A LawlietA Lawliet
242
242
add a comment |
add a comment |
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