International Journal of Engineering and Manufacturing (IJEM)
IJEM Vol. 2, No. 2, 6 Apr. 2012
Cover page and Table of Contents: PDF (size: 287KB)
Testing Coefficients of Autoregressive Conditional Heteroskedasticity Models by Graphical Approach
Full Text (PDF, 287KB), PP.71-78
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Author(s)
Fengjing Cai
1,*
Yuan Li
2
Index Terms
Time Series Chain Graph, ARCH, GARCH
Abstract
The graphical approach is applied to the autoregressive conditional heteroskedasticity time series models. After transformation, it is shown that the coefficients of GARCH model are the conditional correlation coefficients conditioned on the other components of the time series, then a new method is proposed to test the significance of the coefficients of GARCH model.
Cite This Paper
Fengjing Cai , Yuan Li,"Testing Coefficients of Autoregressive Conditional Heteroskedasticity Models by Graphical Approach", IJEM, vol.2, no.2, pp.71-78, 2012. DOI: 10.5815/ijem.2012.02.11
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