Normality test for multivariate conditional heteroskedastic dynamic regression models

In this paper, we study the Jarque-Bera test for the normality of the innovations of multivariate GARCH models. It is shown that the test is distribution free and its limiting null distribution is a chi-square distribution.

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Year of publication:	2011
Authors:	Lee, Sangyeol ; Ng, Chi Tim
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 111.2011, 1, p. 75-77
Publisher:	Elsevier
Keywords:	Jarque-Bera test Normality test Multivariate GARCH models Distribution free test

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008866979