Testing for Conditional Heteroscedasticity: Some Monte Carlo Results

• Main Authors: TSE, Yiu Kuen, Zuo, X. L.
• 格式: text
• 語言: English
• 出版: Institutional Knowledge at Singapore Management University 1997
• 主題: Economics
• 在線閱讀: https://ink.library.smu.edu.sg/soe_research/136

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...