Testing for volatility interactions in the Constant Conditional Correlation GARCH model

DOI10.1111/j.1368-423X.2008.00261.xzbMath1190.62160MaRDI QIDQ3566443

Tomoaki Nakatani, Timo Teräsvirta

Publication date: 8 June 2010

Published in: Econometrics Journal (Search for Journal in Brave)

zbMATH Keywords

Monte Carlo simulationLagrange multiplier testmultivariate GARCHconditional correlationsvolatility interactions

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Monte Carlo methods (65C05) Non-Markovian processes: hypothesis testing (62M07)

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Uses Software

• R

Cites Work

• Tests for departure from normality in the case of linear stochastic processes
• A test for constant correlations in a multivariate GARCH model
• A causality-in-variance test and its application to financial market prices
• DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED-RESIDUAL AUTOCORRELATIONS
• On a multivariate conditional heteroscedastic model
• AN EXTENDED CONSTANT CONDITIONAL CORRELATION GARCH MODEL AND ITS FOURTH-MOMENT STRUCTURE
• A test for volatility spillover with application to exchange rates