Hi statalist,
I am building a model for estimating deposit rate. I found that ARIMA model has arch effect, so I continue to run ARCH model. AFter that, I rechecked the arch effect in ARCH model and it still has arch effect. The things that I want to ask:
1. What is the type of residual that I have to recheck in ARCH model, one step residual or squared residual?
2.is ARCH model still needed to recheck ARCH effect?
Thank you
I am building a model for estimating deposit rate. I found that ARIMA model has arch effect, so I continue to run ARCH model. AFter that, I rechecked the arch effect in ARCH model and it still has arch effect. The things that I want to ask:
1. What is the type of residual that I have to recheck in ARCH model, one step residual or squared residual?
2.is ARCH model still needed to recheck ARCH effect?
Thank you
