A Comparison of the Runs Test for Volatility Forecastability and the LM Test for GARCH Using Aggregated Returns (Q5423184)
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scientific article; zbMATH DE number 5203395
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A Comparison of the Runs Test for Volatility Forecastability and the LM Test for GARCH Using Aggregated Returns |
scientific article; zbMATH DE number 5203395 |
Statements
A Comparison of the Runs Test for Volatility Forecastability and the LM Test for GARCH Using Aggregated Returns (English)
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22 October 2007
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aggregated returns
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forecast horizon
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GARCH
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LM test
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Monte Carlo simulation
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runs test
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