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GARCH 类模型标准化残差相关检验的统一方法AI 解读

Abstract In this paper, we propose a unified approach to generating standardized‐residuals‐based correlation tests for checking GARCH‐type models. This approach is valid in the presence of estimation uncertainty, is robust to various standardized error distributions, and is applicable to testing various types of misspecifications. By using this approach, we also propose a class of power‐transformed‐series (PTS) correlation tests that provides certain robustifications and…

美国股指收益的时间不可逆性与 EGARCH 效应AI 解读

Abstract In this paper we suggest using a modified version of the time reversibility (TR) test of Chen, Chou and Kuan ( 2000 ) as a complementary diagnostic test for time series models. The modified CCK test is easy to compute and requires weaker moment conditions than existing tests. Our simulations demonstrate that this test is powerful against asymmetry in volatility but the BDS test is not. In the empirical study of US stock index returns, we first find that these…