A note on the Jarque-Bera normality test for GARCH innovations

被引：10
|
作者：
Lee, Sangyeol [2 ]
Park, Siyun [3 ]
Lee, Taewook [1 ]
机构：
[1] Hankuk Univ Foreign Studies, Dept Informat Stat, Seoul, South Korea
[2] Seoul Natl Univ, Dept Stat, Seoul 151, South Korea
[3] Seoul Natl Univ, Coll Business Adm, Seoul 151, South Korea
来源：
JOURNAL OF THE KOREAN STATISTICAL SOCIETY | 2010年 / 39卷 / 01期
关键词：
Normality test; GARCH models; JB test; Residual based test; Skewness; Kurtosis; TIME-SERIES; REGRESSION RESIDUALS; EFFICIENT TESTS; MODELS; HOMOSCEDASTICITY; INDEPENDENCE;
D O I：
10.1016/j.jkss.2009.04.005
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：
In this paper, we consider the validity of the Jarque-Bera normality test whose construction is based on the residuals, for the innovations of GARCH (generalized autoregressive conditional heteroscedastic) models. It is shown that the asymptotic behavior of the original form of the JB test adopted in this paper is identical to that of the test statistic based on true errors. The simulation study also confirms the validity of the original form since it outperforms other available normality tests. (C) 2009 The Korean Statistical Society. Published by Elsevier B.V. All rights reserved.
引用
收藏
页码：93 / 102
页数：10
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