Title

Testing for Conditional Heteroscedasticity: Some Monte Carlo Results

Publication Type

Journal Article

Publication Date

1997

Abstract

For the purpose of testing the adequacy of an ARCH/GARCH model after one has been fitted to the data, many researchers use the Box-Pierce statistic as applied to the squared standardized residuals. Recently, Li and Mark (1994) argued that this procedure may be misleading as the asymptotic distribution of the statistic does not converge to a χ2 distribution. They derived the asymptotic distribution of the correlation coefficients of the squared standardized residuals and proposed some diagnostic tests for the ARCH/GARCH models. In this paper we report some Monte Carlo results for the finite sample performance of their tests and some other commonly used diagnostics.

Discipline

Economics

Research Areas

Econometrics

Publication

Journal of Statistical Computation and Simulation

Volume

58

First Page

237

Last Page

253

ISSN

0094-9655

Identifier

10.1080/00949659708811833

Publisher

Taylor and Francis

Additional URL

http://dx.doi.org/10.1080/00949659708811833

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