A weighted goodness-of-fit test for GARCH(1,1) specification (Q1881754)
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scientific article; zbMATH DE number 2108209
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A weighted goodness-of-fit test for GARCH(1,1) specification |
scientific article; zbMATH DE number 2108209 |
Statements
A weighted goodness-of-fit test for GARCH(1,1) specification (English)
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15 October 2004
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GARCH(1,1) sequence
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quasi-maximum likelihood estimator
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squared residuals
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asymptotic normality
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chi-square tests
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0.9043613
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0.90361786
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0.8942796
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0.8869381
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0.8840215
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0.88338387
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0.8799289
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0.8775323
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