Mixing
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 |
0
active
oldest
votes
Your Answer
StackExchange.ifUsing("editor", function () {
return StackExchange.using("mathjaxEditing", function () {
StackExchange.MarkdownEditor.creationCallbacks.add(function (editor, postfix) {
StackExchange.mathjaxEditing.prepareWmdForMathJax(editor, postfix, [["$", "$"], ["\\(","\\)"]]);
});
});
}, "mathjax-editing");
StackExchange.ready(function() {
var channelOptions = {
tags: "".split(" "),
id: "69"
};
initTagRenderer("".split(" "), "".split(" "), channelOptions);
StackExchange.using("externalEditor", function() {
// Have to fire editor after snippets, if snippets enabled
if (StackExchange.settings.snippets.snippetsEnabled) {
StackExchange.using("snippets", function() {
createEditor();
});
}
else {
createEditor();
}
});
function createEditor() {
StackExchange.prepareEditor({
heartbeatType: 'answer',
autoActivateHeartbeat: false,
convertImagesToLinks: true,
noModals: true,
showLowRepImageUploadWarning: true,
reputationToPostImages: 10,
bindNavPrevention: true,
postfix: "",
imageUploader: {
brandingHtml: "Powered by u003ca class="icon-imgur-white" href="https://imgur.com/"u003eu003c/au003e",
contentPolicyHtml: "User contributions licensed under u003ca href="https://creativecommons.org/licenses/by-sa/3.0/"u003ecc by-sa 3.0 with attribution requiredu003c/au003e u003ca href="https://stackoverflow.com/legal/content-policy"u003e(content policy)u003c/au003e",
allowUrls: true
},
noCode: true, onDemand: true,
discardSelector: ".discard-answer"
,immediatelyShowMarkdownHelp:true
});
}
});
Sign up or log in
StackExchange.ready(function () {
StackExchange.helpers.onClickDraftSave('#login-link');
});
Sign up using Google
Sign up using Facebook
Sign up using Email and Password
Post as a guest
Required, but never shown
StackExchange.ready(
function () {
StackExchange.openid.initPostLogin('.new-post-login', 'https%3a%2f%2fmath.stackexchange.com%2fquestions%2f3066802%2fconfidence-interval-for-a-garch-model-with-rtime-series-problem%23new-answer', 'question_page');
}
);
Post as a guest
Required, but never shown
0
active
oldest
votes
0
active
oldest
votes
active
oldest
votes
active
oldest
votes
Thanks for contributing an answer to Mathematics Stack Exchange!
- Please be sure to answer the question. Provide details and share your research!
But avoid …
- Asking for help, clarification, or responding to other answers.
- Making statements based on opinion; back them up with references or personal experience.
Use MathJax to format equations. MathJax reference.
To learn more, see our tips on writing great answers.
Sign up or log in
StackExchange.ready(function () {
StackExchange.helpers.onClickDraftSave('#login-link');
});
Sign up using Google
Sign up using Facebook
Sign up using Email and Password
Post as a guest
Required, but never shown
StackExchange.ready(
function () {
StackExchange.openid.initPostLogin('.new-post-login', 'https%3a%2f%2fmath.stackexchange.com%2fquestions%2f3066802%2fconfidence-interval-for-a-garch-model-with-rtime-series-problem%23new-answer', 'question_page');
}
);
Post as a guest
Required, but never shown
Sign up or log in
StackExchange.ready(function () {
StackExchange.helpers.onClickDraftSave('#login-link');
});
Sign up using Google
Sign up using Facebook
Sign up using Email and Password
Post as a guest
Required, but never shown
Sign up or log in
StackExchange.ready(function () {
StackExchange.helpers.onClickDraftSave('#login-link');
});
Sign up using Google
Sign up using Facebook
Sign up using Email and Password
Post as a guest
Required, but never shown
Sign up or log in
StackExchange.ready(function () {
StackExchange.helpers.onClickDraftSave('#login-link');
});
Sign up using Google
Sign up using Facebook
Sign up using Email and Password
Sign up using Google
Sign up using Facebook
Sign up using Email and Password
Post as a guest
Required, but never shown
Required, but never shown
Required, but never shown
Required, but never shown
Required, but never shown
Required, but never shown
Required, but never shown
Required, but never shown
Required, but never shown
