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https://doi.org/10.1016/S0378-4754(03)00125-3
| Title: | Diagnostics for conditional heteroscedasticity models: Some simulation results | Authors: | Tsui, A.K. | Keywords: | GARCH models Residual-based diagnostics Simulation |
Issue Date: | 2004 | Citation: | Tsui, A.K. (2004). Diagnostics for conditional heteroscedasticity models: Some simulation results. Mathematics and Computers in Simulation 64 (1) : 113-119. ScholarBank@NUS Repository. https://doi.org/10.1016/S0378-4754(03)00125-3 | Abstract: | In this paper, we study the size and power of various diagnostic statistics for univariate conditional heteroscedasticity models. These test statistics include the residual-based tests recently derived by Tse, Li and Mak, and Wooldridge, respectively. Monte-Carlo experiments with 1000 replications are conducted to generate conditional variances which follow the autoregressive conditional heteroscedasticity (ARCH)/GARCH processes. We use quasi-maximum likelihood estimation (MLE) method to obtain estimates of parameters under different ARCH/ generalized ARCH (GARCH) models. It is found that the Tse and Li-Mak diagnostics are more powerful.©2003 IMACS. Published by Elsevier B.V. All rights reserved. | Source Title: | Mathematics and Computers in Simulation | URI: | http://scholarbank.nus.edu.sg/handle/10635/19943 | ISSN: | 03784754 | DOI: | 10.1016/S0378-4754(03)00125-3 |
| Appears in Collections: | Staff Publications Elements |
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