Testing Coefficients of Autoregressive Conditional Heteroskedasticity Models by Graphical Approach

Fengjing Cai; Yuan Li

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Testing Coefficients of Autoregressive Conditional Heteroskedasticity Models by Graphical Approach

机译：用图形方法检验自回归条件异方差模型的系数

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摘要

The graphical approach is applied to the autoregressive conditional heteroskedasticity time series models. After transformation, it is shown that the coefficients of GARCH model are the conditional correlation coefficients conditioned on the other components of the time series, then a new method is proposed to test the significance of the coefficients of GARCH model.

机译：图形方法适用于自回归条件异方差时间序列模型。变换后，表明GARCH模型的系数是条件相关系数，该条件相关系数以时间序列的其他分量为条件，然后提出了一种新的方法来检验GARCH模型系数的显着性。

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《International Journal of Engineering and Manufacturing(IJEM)》 |2012年第2期|共8页
作者
Fengjing Cai; Yuan Li;
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中图分类机械制造工艺;
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2. Testing and modelling autoregressive conditional heteroskedasticity of streamflow processes [J] . Wang W., Gelder P. H. A. J. M Van, Vrijling J. K., Nonlinear Processes in Geophysics Discussions . 2005,第1期

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3. Modeling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model [J] . Annastiina Silvennoinen and Journal of Financial Econometrics . 2009,第4期

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7. Testing Coefficients of Autoregressive Conditional Heteroskedasticity Models by Graphical Approach [O] . Fengjing Cai, Yuan Li 2012

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Testing Coefficients of Autoregressive Conditional Heteroskedasticity Models by Graphical Approach

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