A note on Jarque-Bera normality test for ARMA-GARCH innovations

DOI10.1016/J.JKSS.2011.05.006MaRDI QIDQ744734zbMATH OpenOpenAlexFDO

Authors Taewook Lee

Publication date 26 September 2014

Published in Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jkss.2011.05.006

zbMATH Keywords

kurtosisskewnessnormality testARMA-GARCH modelresidual-based testJarque-Bera test

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

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Cites work

• A note on the Jarque-Bera normality test for GARCH innovations
• Asymptotic variance–covariance matrix of sample autocorrelations for threshold-asymmetric GARCH processes
• GARCH processes: structure and estimation
• High moment partial sum processes of residuals in GARCH models and their applications
• Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
• NM-QELE for ARMA-GARCH models with non-Gaussian innovations
• On residual empirical processes of stochastic regression models with applications to time series
• On some global measures of the deviations of density function estimates
• On the validity of the Jarque-Bera normality test in conditionally heteroskedastic dynamic regression models
• Stationarity and the existence of moments of a family of GARCH processes.
• Stationarity of GARCH processes and of some nonnegative time series

Cited in

(9)

• A note on the Jarque-Bera normality test for GARCH innovations
• On a test of normality based on the empirical moment generating function
• On the validity of the Jarque-Bera normality test in conditionally heteroskedastic dynamic regression models
• Information matrix test for normality of innovations in stationary time series models
• On Jarque-Bera normality and cusum parameter change tests for BCTT-GARCH models
• Jarque-Bera normality test for the driving Lévy process of a discretely observed univariate SDE
• Normality test for multivariate conditional heteroskedastic dynamic regression models
• Normality test in random coefficient autoregressive models
• Modeling and predicting Chinese stock downside risks via Gaussian mixture models and marked self-exciting point process

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