Testing for Conditional Heteroscedasticity: Some Monte Carlo Results
For the purpose of testing the adequacy of an ARCH/GARCH model after one has been fitted to the data, many researchers use the Box-Pierce statistic as applied to the squared standardized residuals. Recently, Li and Mark (1994) argued that this procedure may be misleading as the asymptotic distributi...
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| Main Authors: | , |
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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
1997
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| Online Access: | https://ink.library.smu.edu.sg/soe_research/136 |
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| Institution: | Singapore Management University |
| Language: | English |