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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

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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)
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