Differences between variations of GARCH (EGARCH, APARCH, . . . ) I want to know the differences between EGARCH, APARCH, TGARCH, QGARCH, GJRGARCH, IGARCH, AVGARCH, PGARCH, GARCH-M and the standard GARCH I tried to find the information by myself but I cannot find
egarch using rugarch package in R - Cross Validated The first issue you're going to have here is that the model is a very, very bad fit to the data Fitting GARCH parameters can be tricky and if the model is especially wrong, different implementations may lead to different (bad) parameter estimates You can see why the model doesn't do a good job by plotting the data: The history is quite short, and you'll notice that the variance of the
How to choose between EGARCH and GARCH? - Cross Validated Your first question essentially is a general question of model selection, and there are numerous good answers on the topic on this site You would have to filter through the large number of threads to identify the most relevant ones, though; these ones are specifically about GARCH But the fact that you are choosing between EGARCH and GARCH specifically does not make it very different from
How to interpret GARCH parameters? - Cross Validated You'll need to complete a few actions and gain 15 reputation points before being able to upvote Upvoting indicates when questions and answers are useful What's reputation and how do I get it? Instead, you can save this post to reference later
ARMA-GARCH model selection fit evaluation - Cross Validated I'm trying to fit an ARMA-GARCH model to a data set of FTSE 100 log returns (which I've uploaded here) However, I'm not able to find a well-fitting model Below are the ACF and PACF of the log ret