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Is there anyway to check if a proposed ARCH/GARCH/EGARCH model fits well? I have used AIC/BIC critereon to select an optimal model, but how do I know if it is "doing its job"?

To compare, for simple linear regression you can check the residuals of a proposed model to see if they are normal - giving clues as to how much your model has explained.

Is there anything similar for ARCH/GARCH/EGARCH?

Harry
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  • Have you checked the following answers? [This](http://stats.stackexchange.com/questions/146640/has-anybody-ever-found-data-where-arch-and-garch-models-work/146773#146773) and [this](http://stats.stackexchange.com/questions/146403/how-to-test-predictive-power-of-garch-model/146548#146548). There have been more discussions, just search for the questions and answers tagged with `ARCH` or `GARCH` tags. – Richard Hardy May 09 '15 at 14:07
  • I did search but most of the questions didnt seem to ask what I wanted to know. I didn't think of reading the answers anyway. The answer in that first link is amazing, many thanks! – Harry May 09 '15 at 14:10
  • Need 15 rep, wish I could! :( – Harry May 09 '15 at 14:23

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