Testing Coefficients of Autoregressive Conditional Heteroskedasticity Models by Graphical Approach

Generalized Autoregressive Conditional Heteroskedasticity

A natural generalization of the ARCH (Autoregressive Conditional Heteroskedastic) process introduced in Engle (1982) to allow for past conditional variances in the current conditional variance equation is proposed. Stationarity conditions and autocorrelation structure for this new class of parametric models are derived. Maximum likelihood estimation and testing are also considered. Finally an e...

Testing and modelling autoregressive conditional heteroskedasticity of streamflow processes

Abstract. Conventional streamflow models operate under the assumption of constant variance or season-dependent variances (e.g. ARMA (AutoRegressive Moving Average) models for deseasonalized streamflow series and PARMA (Periodic AutoRegressive Moving Average) models for seasonal streamflow series). However, with McLeod-Li test and Engle’s Lagrange Multiplier test, clear evidences are found for t...

Estimation for Partially Nonstationary Multivariate Autoregressive Models with Conditional Heteroskedasticity

where $‘s inre r*onst,ant matricaes; detI{@(z)} = 11 @,x . w * $JP[ = 0 has ci 5 771, urrit roots and ‘I’ = 711 d roots omside the urrit, circle: tPt = ((1 it, 7 c+> is a sequcnce of independent1 and idcntically distlributled (i.i.tl) matrices with mean zero and nonnegativc covarianc~e IC[ /le+&) ~f’(&)] = 0; pit is an i.i.d ramlom vector witIh mean zero and positive covariance E ( etef j = CA ...

Integrated Conditional Moment Testing of Conditional Heteroskedasticity Models∗

In this paper we propose a consistent Integrated Conditional Moment (ICM) test of the functional form of a conditional heteroskedasticity model, for example a GARCH specification, which is asymptotically independent of the ICM test of the specification of the underlying conditional expectation model, under the null hypothesis that both models are correctly specified.

Testing for Reduction to Random Walk in Autoregressive Conditional Heteroskedasticity Models