why checking correlation in square series?

1 回表示 (過去 30 日間)
Yoshiko Kawashima
Yoshiko Kawashima 2011 年 12 月 6 日
Why MATLAB product help (Econometric tools-Getting started-Time series modelling-GARCH models) calculates the correlation in both return series and the square of the return series. What is the reason for investigating the correlation in square series?

サインインしてこの質問に回答する。

回答 (1 件)

Wayne King
Wayne King 2011 年 12 月 6 日
I'm guessing because correlation in the squared returns indicates correlation in the process variance. And that would indicate the possibility that the process is a good candidate for GARCH modeling.

カテゴリ

Help Center および File Exchange で Conditional Variance Models についてさらに検索

タグ

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Translated by