When it comes to variable interpretation, multicollinearity is among the biggest issues that must be surmounted, especially in this new era of Big Data Analytics. Since even moderate size multicollinearity can prevent proper interpretation, special diagnostics must be recommended and implemented...

In this paper a test procedure is proposed for the skewness in autoregressive conditional volatility models. The size and the power of the test are investigated through a series of Monte Carlo simulations with various models. Furthermore, applications with financial data are analyzed in order to...