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Contrastes de especificación para los modelos de varianza Heterocedástica condicionada

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Author Info

  • Pérez Rodríguez, Jorge V.

    (Universidad de Barcelona)

  • Murillo Fort, Carlos

    (Universidad Pompeu Fabra)

Abstract

Partiendo de un esquema GARCH (p,q), presentamos una sinopsis de los contrastes estadísticos más relevantes que pueden ser aplicados a los modelos de varianza heterocedástica condicionada, y que pueden extenderse a todos tipo de especificaciones de la misma. Atendiendo a la distinción metodológica de Hendry sobre los contrastes de hipótesis en modelos de regresión, dividimos a éstos en contrastes de especificación (de modelos y de estabilidad de las varianzas) y en contrastes de mala especificación (de no linealidad, heterocedasticidad, curva de impacto de las noticias, capacidad predictiva y otros contrastes. We show a sinopsis of the most relevant tests that are applied to the Autoregresive Conditionaal Heteroscedasstic (ARCH) models, which can be extended to the class of these models. We use Hendry´s methology distinction over hypothesis tests in regression models. In this way, we´ll state a division in specifications tests (models and variances stability) and misspecification tests (non linearity, heteroscedasticity, news impact curve, predict capability and others tests)

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Bibliographic Info

Article provided by Estudios de Economía Aplicada in its journal Estudios de Economía Aplicada.

Volume (Year): 7 (1997)
Issue (Month): (Junio)
Pages: 101-129

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Handle: RePEc:lrk:eeaart:7_2_6

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Related research

Keywords: ARCH; Lagrange multiplier; Econcompassing Test;

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References

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  1. repec:att:wimass:9520 is not listed on IDEAS
  2. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
  3. Weiss, Andrew A., 1986. "Asymptotic Theory for ARCH Models: Estimation and Testing," Econometric Theory, Cambridge University Press, vol. 2(01), pages 107-131, April.
  4. Holt, Matthew & Aradhyula, Satheesh V., 1990. "Price Risk in Supply Equations: An Application of Garch Time-Series Models to the U.S. Broiler Market," Staff General Research Papers 276, Iowa State University, Department of Economics.
  5. Engle, Robert F & Ng, Victor K, 1993. " Measuring and Testing the Impact of News on Volatility," Journal of Finance, American Finance Association, vol. 48(5), pages 1749-78, December.
  6. Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.
  7. Pagan, Adrian R. & Schwert, G. William, 1990. "Alternative models for conditional stock volatility," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 267-290.
  8. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
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