A Lagrange multiplier test for testing the adequacy of constant conditional correlation GARCH model (Q5864639)
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scientific article; zbMATH DE number 7538208
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| English | A Lagrange multiplier test for testing the adequacy of constant conditional correlation GARCH model |
scientific article; zbMATH DE number 7538208 |
Statements
A Lagrange multiplier test for testing the adequacy of constant conditional correlation GARCH model (English)
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8 June 2022
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constant conditional correlation
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LM test
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misspecification testing
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modeling volatility
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multivariate GARCH
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0.95821315
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0.9429033
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0.9017738
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0.89794254
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0.8947166
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0.8936105
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0.89238864
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