Testing Coefficients of Autoregressive Conditional Heteroskedasticity Models by Graphical Approach
Автор: Fengjing Cai , Yuan Li
Журнал: International Journal of Engineering and Manufacturing(IJEM) @ijem
Статья в выпуске: 2 vol.2, 2012 года.
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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.
Time Series Chain Graph, ARCH, GARCH
Короткий адрес: https://sciup.org/15014301
IDR: 15014301
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