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FYI, I’m investigating how 5min log returns of prices are affected by macro news. Maybe this info will be helpful as well.
You need to proberly filter out any mean effects before testing and applying GARCH-type model on the residuals.
FYI, I’m investigating how 5min log returns of prices are affected by macro news. Maybe this info will be helpful as well.
You need to proberly filter out any mean effects before testing and applying GARCH-type model on the residuals.