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

Jeff Ryan jeff.a.ryan at gmail.com
Sat Jun 4 11:14:05 CEST 2011

Intuitively the idea is to have no structure remaining in the residuals. 

The practical has been answered by Pat and Alexios. 


Jeffrey Ryan    |    Founder    |    jeffrey.ryan at lemnica.com


On Jun 3, 2011, at 10:46 PM, "Robert A'gata" <rhelpacc at gmail.com> wrote:

> Hi,
> 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.
> Robert
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