Identify Conditional Heteroscedacity
TimeSeriesModelFit automatically checks for conditional heteroscedacity in data and fits ARCH/GARCH models to data.
Create a time series of daily returns on Starbucks Corp. stock.
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Compute the autocorrelation function.
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Test for autocorrelation in the sequence of returns.
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The returned time series is not autocorrelated, but its square is.
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TimeSeriesModelFit determines the GARCH family as the best fit for the data.
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Find the fitted process.
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The model residuals appear uncorrelated.
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Use TimeSeriesModel to compute confidence intervals of future forecast.
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