A Comparison of the Runs Test for Volatility Forecastability and the LM Test for GARCH Using Aggregated Returns

DOI10.1080/07474930701512147zbMath1122.62087OpenAlexW2007998054MaRDI QIDQ5423184

Yasemin Ulu

Publication date: 22 October 2007

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474930701512147

zbMATH Keywords

Monte Carlo simulationGARCHLM testforecast horizonruns testaggregated returns

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Monte Carlo methods (65C05)

Cites Work

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• A Lagrange multiplier test for GARCH models
• Qualitative threshold ARCH models
• Generalized autoregressive conditional heteroscedasticity
• Temporal Aggregation of Garch Processes
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

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