Is autocorrelation in GARCH standardized resdiuals bad for creation of news impact curves?
I have made a GJR-GARCH(1,1) estimate for various MSCI indices and time periods. There is no autocorrelation (AC) in the squared standardised residuals, but there is some in standardised residuals. I want to use the estimate to calculate news impact curves. Since the dependencies of the volatility seem to be modelled correctly, is the AC in the standardized residuals negligible for my goal?
Thanks a lot
I have made a GJR-GARCH(1,1) estimate for various MSCI indices and time periods. There is no autocorrelation (AC) in the squared standardised residuals, but there is some in standardised residuals. I want to use the estimate to calculate news impact curves. Since the dependencies of the volatility seem to be modelled correctly, is the AC in the standardized residuals negligible for my goal?
Thanks a lot
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