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Contrastes de especificación para los modelos de varianza Heterocedástica condicionada


Author Info

  • Pérez Rodríguez, Jorge V.

    (Universidad de Barcelona)

  • Murillo Fort, Carlos

    (Universidad Pompeu Fabra)


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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Postal: Beatriz Rodríguez Prado. Facultad de CC.EE. y EE. Avda. Valle del Esgueva. Valladolid 47011 SPAIN
Phone: (34) 983 423320
Fax: (34) 983 184568
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Related research

Keywords: ARCH; Lagrange multiplier; Econcompassing Test;

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  1. Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
  2. Pagan, A.R. & Schwert, G.W., 1989. "Alternative Models For Conditional Stock Volatility," Papers 89-02, Rochester, Business - General.
  3. Robert F. Engle & Victor K. Ng, 1991. "Measuring and Testing the Impact of News on Volatility," NBER Working Papers 3681, National Bureau of Economic Research, Inc.
  4. Weiss, Andrew A., 1986. "Asymptotic Theory for ARCH Models: Estimation and Testing," Econometric Theory, Cambridge University Press, vol. 2(01), pages 107-131, April.
  5. 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.
  6. repec:att:wimass:9520 is not listed on IDEAS
  7. 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.
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