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For numerical stability, I thought it might be a good idea to scale my data before feeding them into an ARMA GARCH model. I have gone through a few older posts and understand the affect scaling innovations/residuals have on GARCH, but what effect does it have on the ARMA coefficients?

Thanks!

Richard Hardy
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  • I suspect the only effect is on the constant/intercept term. – Richard Hardy May 06 '21 at 05:04
  • Does this answer your question? [Scale-invariant analysis of time series](https://stats.stackexchange.com/questions/4146/scale-invariant-analysis-of-time-series). (See also the comments under the answer.) See also ["scaling in time series"](https://stats.stackexchange.com/questions/405597). – Richard Hardy May 06 '21 at 05:06

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