Search Results - subject:"residual-based diagnostics"

Application and Diagnostic Checking of Univariate and Multivariate GARCH Models in Serbian Financial Market

Minovic, Jelena - In: Economic Analysis 41 (2008), pp. 73-87

tests of the Ljung-Box type, residual-based diagnostics (RB) and Lagrange Multiplier (LM) tests. In our empirical analysis … product of standardized residuals to check the model adequacy. Our results showed that the residual-based diagnostics provide …

Persistent link: https://www.econbiz.de/10010742005

Diagnostics for conditional heteroscedasticity models: some simulation results

Tsui, Albert K - In: Mathematics and Computers in Simulation (MATCOM) 64 (2004) 1, pp. 113-119

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...

Persistent link: https://www.econbiz.de/10010748462