What can I do when I have a ARMA-GARCH model but the correlogram have a order 19 for MA?

Ciprian Ionel Turturean @Ciprian-Turturean

10 June 2015 1 7K Report

What can i do when i have a ARMA-GARCH model but the correlogram (ACF) indicate a high order for the MA component (order 19). I was trying to introduce a MA(19) in the model but it hasn't passed the t test!?

The AR with a lower order, doesn't explain the higher order of MA!

The PACF is clean!

Ciprian Ionel Turturean

I have made the ADF test for unit root but it wasn't necessary to build the differences!

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