Testing for volatility interactions in the Constant Conditional Correlation GARCH model

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

Timo Teräsvirta, Tomoaki Nakatani

Publication date: 8 June 2010

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

zbMATH Keywords

Monte Carlo simulation; Lagrange multiplier test; multivariate GARCH; conditional correlations; volatility interactions

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62P05: Applications of statistics to actuarial sciences and financial mathematics

91G70: Statistical methods; risk measures

65C05: Monte Carlo methods

62M07: Non-Markovian processes: hypothesis testing

Related Items

Testing linear causality in mean when the number of estimated parameters is high, QML ESTIMATION OF A CLASS OF MULTIVARIATE ASYMMETRIC GARCH MODELS, NEGATIVE VOLATILITY SPILLOVERS IN THE UNRESTRICTED ECCC-GARCH MODEL

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