Testing constancy of unconditional variance in volatility models by misspecification and specification tests (Q2691672)

From MaRDI portal
scientific article
Language Label Description Also known as
English
Testing constancy of unconditional variance in volatility models by misspecification and specification tests
scientific article

    Statements

    Testing constancy of unconditional variance in volatility models by misspecification and specification tests (English)
    0 references
    0 references
    30 March 2023
    0 references
    0 references
    autoregressive conditional heteroskedasticity
    0 references
    modeling volatility
    0 references
    testing parameter constancy
    0 references
    time-varying GARCH
    0 references
    0 references