Dear All
As I can recall, after estimating a GARCH model under GUI, it seems a
standard procedure to check the "standardized residuals" for their
autocorrelations by means of Lung-Box Q, for "no remaining ARCH" by
means of Lung-Box Q2, and (probably) for normality. (see for example
, Enders' textbook "Applied Econometric Time Series," p.136,
Diagnostic checks)
Do you think "Save" standardized residuals in addition to (usual)
residuals in the Model windows, and other Tests for (standardized)
residuals are necessary? Now most of the Tests under GARCH estimation
result window are disabled.
Thanks
Yi-Nung
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