Analyzing estimation output
The video has shown the analysis of goodness of fit in case of the Microsoft returns. Let's do a similar exercise for the daily EUR/USD returns. You need to analyze the estimation output for an AR(1)-GJR GARCH model with skewed student t distribution and then decide whether we need such a flexible model with AR(1) dynamics in the mean and leverage effect in the variance.
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.
# Specify model with AR(1) dynamics, GJR GARCH and skewed student t
flexgarchspec <- ugarchspec(mean.model = list(armaOrder = ___),
variance.model = list(model = ___),
distribution.model = ___)
# Estimate the model
flexgarchfit <- ___(data = EURUSDret, spec = flexgarchspec)