Detecting and diagnostic checking multivariate conditional heteroscedastic time series models

被引：12

作者：

Wong, H

Li, WK

机构：

[1] Hong Kong Polytech Univ, Dept Appl Math, Kowloon, Hong Kong, Peoples R China

[2] Univ Hong Kong, Dept Stat & Actuarial Sci, Hong Kong, Hong Kong, Peoples R China

来源：

ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS | 2002年 / 54卷 / 01期

关键词：

ARCH models; squared residuals; cross-correlation tests; score test;

D O I：

10.1023/A:1016161620735

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

Two tests for multivariate conditional heteroscedastic models are proposed. One is based on the cross-correlations of standardized squared residuals and the other is a score (Lagrange multiplier) test. The cross-correlations test can be used to detect the presence of multivariate conditional heteroscedasticity whereas the other test can be used for diagnostic checking. Simulation studies on the size and power of the test statistics are reported. The application of the tests is illustrated by an example using the S & P 500 and Sydney All Ordinary Indexes.

引用

页码：45 / 59

页数：15

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