A residual-based test for multivariate GARCH models using transformed quadratic residuals (Q1984480)
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scientific article; zbMATH DE number 7396109
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| English | A residual-based test for multivariate GARCH models using transformed quadratic residuals |
scientific article; zbMATH DE number 7396109 |
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A residual-based test for multivariate GARCH models using transformed quadratic residuals (English)
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16 September 2021
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multivariate GARCH model
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model checking
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residual-based statistic
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transformed quadratic residuals
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0.92285806
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0.8921307
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0.89040416
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0.8889752
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0.8842329
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0.8835219
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0.88279855
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0.8806377
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