Hi R users,

I'm trying to fit an ARMA or GARCH or ARMA/GARCH model over a financial
time series of daily Log returns.
I've followed the same procedure as most texts are recommending in order to
check whether an autocorrelation structure exist (either on residuals or
squared residuals) or not. After run the Ljung-Box and LM ARCH test over
squared residuals and I realise that NO autocorrelation structure exist, I
supposed that, if i try to fit a GARCH model the fitting results would be
quite useless.

Instead of that, I've found that the fitting was pretty good.

The question is: Should I go ahead with the GARCH model or Should i belive
the Ljung-Box and LM ARCH test ?.

Thanks in advance.

Jaimie

	[[alternative HTML version deleted]]

