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.
यह अभ्यास पाठ्यक्रम का हिस्सा है
GARCH Models in R
इंटरैक्टिव व्यावहारिक अभ्यास
इस अभ्यास को इस नमूना कोड को पूरा करके आज़माएँ।
# Compute the standardized returns
stdEURUSDret <- ___(tgarchfit, standardize = ___)
# Compute their sample mean and standard deviation
___(stdEURUSDret)
___(stdEURUSDret)