A comparison of alternative techniques for selecting an optimum ARCH model

DOI10.1080/10629360600932857zbMATH Open1136.62370OpenAlexW2145839424MaRDI QIDQ5457923FDOQ5457923

Authors: Heather Mitchell, Michael D. McKenzie 

Publication date: 10 April 2008

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10629360600932857

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• scientific article; zbMATH DE number 6180013

zbMATH Keywords

ARCHmodel selection criteriaHansen and Lunde test

Mathematics Subject Classification ID

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

Cites Work

• Generalized autoregressive conditional heteroscedasticity
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• ARCH modeling in finance. A review of the theory and empirical evidence
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• An Empirical Likelihood Goodness-of-Fit Test for Time Series
• Title not available (Why is that?)
• Evaluating GARCH models.
• Bootstrap misspecification tests for ARCH based on the empirical process of squared residuals
• Forecasting exchange rate volatility using conditional variance models selected by information criteria
• A weighted goodness-of-fit test for GARCH(1,1) specification

Cited In (3)

• Selecting the order of an ARCH model
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• Predictability and model selection in the context of ARCH models

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