Testing for reduction to random walk in autoregressive conditional heteroskedasticity models (Q4416017)
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scientific article; zbMATH DE number 1961110
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| English | Testing for reduction to random walk in autoregressive conditional heteroskedasticity models |
scientific article; zbMATH DE number 1961110 |
Statements
Testing for reduction to random walk in autoregressive conditional heteroskedasticity models (English)
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7 August 2003
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AR-ARCH
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AR-GARCH models
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conditional heteroskedasticity
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autoregression
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unit root
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Dickey-Fuller test
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pseudo-likelihood ratio test
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0.8912861
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0.8894326
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0.8839458
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0.8764841
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0.8757789
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0.87558043
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