Correlogram and Ljung-Box test
Let's test the validity of a constant mean standard GARCH(1,1) model with student t distribution for the daily EUR/USD returns. The model is already estimated and available as tgarchfit
.
This exercise is part of the course
GARCH Models in R
Hands-on interactive exercise
Have a go at this exercise by completing this sample code.
# Compute the standardized returns
stdEURUSDret <- ___(tgarchfit, standardize = ___)
# Compute their sample mean and standard deviation
___(stdEURUSDret)
___(stdEURUSDret)