A model specification test for GARCH(1,1) processes (Q3460672)
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scientific article; zbMATH DE number 6527652
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | A model specification test for GARCH(1,1) processes |
scientific article; zbMATH DE number 6527652 |
Statements
A Model Specification Test For GARCH(1,1) Processes (English)
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8 January 2016
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bootstrap
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Cramér-von Mises test
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generalized autoregressive conditional heteroscedacity processes
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\(V\)-statistic
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GARCH(1,1)
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limit distribution
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0.8593857288360596
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0.8469337224960327
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0.8426399230957031
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0.8313494324684143
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0.8209965825080872
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