ARMA Model Fitting and Diagnosis

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  1. Mario Castro
  2. machine learning
  3. forecasting
  4. ARIMA
  5. ARMA
  6. fitting
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Thanks Marco, Your videos are very useful. I have a question about residuals: the more there are outliers and the more there is volatility clustering, am i right? So, let's say that in my residuals plot there some outliers, i can assume that the non-heteroskedasticity assumption is violated, then i should move towards a garch model., right?

danieledeleo