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  3. GARCH Models in R
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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.

说明 1 / 共 3 个

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  • Compute the standardized returns.
  • Compute their sample mean and standard deviation.