Score test of fit for composite hypothesis in the GARCH\((1,1)\) model (Q958816)
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scientific article; zbMATH DE number 5379315
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| English | Score test of fit for composite hypothesis in the GARCH\((1,1)\) model |
scientific article; zbMATH DE number 5379315 |
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Score test of fit for composite hypothesis in the GARCH\((1,1)\) model (English)
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8 December 2008
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GARCH(1,1) model
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conditional distribution
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efficient score vector
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data-driven test of fit
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square-root consistent estimator
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martingale difference array
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central limit theorem
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Monte Carlo simulations
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GED family
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0.9111565947532654
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0.8209965825080872
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0.8057459592819214
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0.8038209676742554
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0.8025209903717041
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