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Arch-Garch. Lab Nine. Producer Price Index for Finished Goods, 1982 =100, 1947.04 – 2008.04. Identification. Trace Histogram Correlogram Unit root test. Model. PACF: try an ARTHREE. Model Validation. Model of mean, ser = 0.00496 Actual, fitted, residual Correlogram of residuals

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arch garch

Arch-Garch

Lab Nine

identification
Identification
  • Trace
  • Histogram
  • Correlogram
  • Unit root test
model
Model
  • PACF: try an ARTHREE
model validation
Model Validation
  • Model of mean, ser = 0.00496
    • Actual, fitted, residual
    • Correlogram of residuals
    • Histogram of residuals
    • Serial correlation test
model validation1
Model validation
  • Model of Mean, ser = 0.00487
    • Actual, fitted, residual
    • Correlogram of residuals
    • Histogram of residuals
    • Serial correlation test
conditional heteroskedasticity
Conditional heteroskedasticity?
  • Trace of ressq
  • Correlogram of residuals squared
  • ARCH Lagrange Multiplier test