A Note on Diagnosing Multivariate Conditional Heteroscedasticity Models (Q4956037)
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scientific article; zbMATH DE number 1452439
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| default for all languages | No label defined |
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| English | A Note on Diagnosing Multivariate Conditional Heteroscedasticity Models |
scientific article; zbMATH DE number 1452439 |
Statements
A Note on Diagnosing Multivariate Conditional Heteroscedasticity Models (English)
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24 May 2000
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GARCH model
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diagnostic tests
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Box-Pierce statistics
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Ling-Li statistics
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0.9277917
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0.92651474
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0.9232869
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0.9115727
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