Ricardo,

have you tested for the ARCH effects?

> r <- scan("jpy.txt")
Read 1459 items
> a <- r-mean(r)
> rsq <- a^2
> # Testing for ARCH effects
> Box.test(rsq, lag=5, type = "Ljung-Box")

        Box-Ljung test

data:  rsq
X-squared = 2.8022, df = 5, p-value = 0.7305

> # Look at the acf and pacf of squared returns
> acf(rsq)
> pacf(rsq)

It is no wonder that you are unable to fit a regular GARCH model.

Regards,
Hannu

On 8/21/06, 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
> <<JPY.txt>>
> pd:weekens removed
>
>
>
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