why checking correlation in square series?
Afficher commentaires plus anciens
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?
Réponses (1)
Wayne King
le 6 Déc 2011
0 votes
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.
Catégories
En savoir plus sur Conditional Variance Models dans Centre d'aide et File Exchange
le 6 Déc 2011
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!
Translated by 
