why checking correlation in square series?
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Why MATLAB product help (Econometric tools-Getting started-Time series modelling-GARCH models) calculates the correlation in both return series and the square of the return series. What is the reason for investigating the correlation in square series?
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Wayne King
am 6 Dez. 2011
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I'm guessing because correlation in the squared returns indicates correlation in the process variance. And that would indicate the possibility that the process is a good candidate for GARCH modeling.
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am 6 Dez. 2011
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