Can we use the ARCH process to model actual data, or is it just used for test for heteroskedacity in AR models?
Yeah, you can combine AR/MA/ARMA with ARCH/GARCH to model data.
Can we use the ARCH process to model actual data, or is it just used for test for heteroskedacity in AR models?
Yeah, you can combine AR/MA/ARMA with ARCH/GARCH to model data.