[R-SIG-Finance] Measure quality of fit for MA(q), ARMA(p, q) and GARCH(p, q)

Robert A'gata rhelpacc at gmail.com
Sat Jun 4 05:46:19 CEST 2011


I would like to ask for a guideline on how to assess quality of fit
for MA, ARMA and GARCH process. For AR, it still looks like a
regression for me. So I still can rely on R-square as long as the time
series itself is stationary. However, for MA, ARMA or GARCH, I do not
know what measure I should use to assess fit quality. Any suggestions
would be appreciated. Thank you.


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