Detect autocorrelations
GARCH models make strict assumptions about the distribution characteristics of the standardized residuals. If the model is doing a good job at explaining the data, the standardized residuals should not exhibit data clustering or autocorrelations.
Which of the following statements is incorrect?
This exercise is part of the course
GARCH Models in Python
Hands-on interactive exercise
Turn theory into action with one of our interactive exercises
Start Exercise