Testing Coefficients of Autoregressive Conditional Heteroskedasticity Models by Graphical Approach | Zendy

Fengjing Cai | Zendy; Yuan Li | Zendy

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Testing Coefficients of Autoregressive Conditional Heteroskedasticity Models by Graphical Approach

Author(s) -

Fengjing Cai,

Yuan Li

Publication year - 2012

Publication title -

international journal of engineering and manufacturing

Language(s) - English

Resource type - Journals

eISSN - 2306-5982

pISSN - 2305-3631

DOI - 10.5815/ijem.2012.02.11

Subject(s) - autoregressive conditional heteroskedasticity , heteroscedasticity , autoregressive model , econometrics , series (stratigraphy) , star model , mathematics , time series , computer science , statistics , autoregressive integrated moving average , volatility (finance) , paleontology , biology

The graphical approach is applied to the autoregressive conditional heteroskedasticity time series models. After transformation, it is shown that the coefficients of GARCH model are the conditional correlation coefficients conditioned on the other components of the time series, then a new method is proposed to test the significance of the coefficients of GARCH model.

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