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Thread: Time Series or GARCH? Can't decide..

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    Time Series or GARCH? Can't decide..




    Hello,

    for a research thesis I want to compare returns of different asset classes with another.

    Think: stock indices, bond indices, a commodity index and a real estate index.

    First question: since I come from a qualitative background, I'm new to quantitative research designs. I know that a case study and an experiment are research designs, but how do we call such a research design ?

    Developmental or Time Series Research Design - Data are collected at certain points in time going forward. There is an emphasis on time patterns and longitudinal growth or change.

    Is a Time Series Research Design a research design in itself?

    Second QuestionWhat would be easier to do, a 'rolling time series model' or a generalized autoregressive conditional heteroscedasticity (GARCH) model? I have the feeling that a rolling time series model is easier to do.

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    Re: Time Series or GARCH? Can't decide..

    I'd say that you are about to do an empirical study (analysis of longitudinal data). As for the model selection, that largely depends on the properties of your data. Either you use time-series, ARCH, GARCH or whatever else -- they are all just commands in the statistical software and all are "equally" implemented, as long as you know what you want to do.
    Last edited by kiton; 08-21-2016 at 08:03 PM.

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    Re: Time Series or GARCH? Can't decide..

    Quote Originally Posted by kiton View Post
    I'd say that you are about to do an empirical study (analysis of longitudinal data). As for the model selection, that largely depends on the properties of your data. Either you use time-series, ARCH, GARCH or whatever else -- they are all just commands in the statistical software and all are "equally" implemented, as long as you know what you want to do.
    Thanks.

    What is the difference between these types of methods and a 'time series regression'?

    Would a 'rolling time series model' be the same as a 'time series regression'? If not, what should I do with the data in SPSS?

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    Re: Time Series or GARCH? Can't decide..


    A rolling analysis of a time series model is , as far as i know, used to assess the model's stability over time.

    My question is: WHAT Model, as i just put in return data etc from 15-20 years, What model should I depart from?

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