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Test For Arch
(2004-12-02 18:54:05)
TestingforARCH--------------------------------------------------------------------------------TheresidualsfromapreliminaryOLSestimationcanbetestedforARCHbehaviour.Testingapproachesareasfollows.Testsfornon-normalitycanbeconsidered.IfthenormalityassumptionisusedtodescribetheconditionalerrordistributionthenapropertyofARCHisthattheunconditionalerrordistributionwillbenon-normalwithhighvaluesforkurtosis...[阅读全文]
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ARCH Models
(2004-12-02 18:49:17)

ARCHModelsARCH(autoregressiveconditionalheteroskedasticity)modelsrecognizethepresenceofsuccessiveperiodsofrelativevolatilityandstability.Theerrorvariance,conditionalonpastinformation,evolvesovertimeasafunctionofpasterrors.ThemodelwasintroducedbyEngle[1982].Bollerslev[1986]proposedtheGARCH(generalizedARCH)conditionalvariancespecificationthatallowsforaparsimoniousparameterisationofthelagstructure.Co...[阅读全文]
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