it's possible that over the time period you are looking at, the garch properties
  ( clustering/memory ) of the returns aren't there. + you didn't say
  what you were fitting but i assume garch(1,1). maybe it's a garch(1,0) or a garch(0,1).
   
  other people ( eric, adrian, patrick ) will have more to say i imagine.
   
   
  

Ricardo Zambrano Aguilera <Ricardo.Zambrano@corpbanca.cl> wrote:
  Greetings
i have this time series, (currency japanese log returns)
the data´s iid and it don´t have any serial correlation
but it does not fit to a regular garch ...
what could it be?
best regards

RZA
<> 
pd:weekens removed


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