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

Minović, Jelena (2008) Application and Diagnostic Checking of Univariate and Multivariate GARCH Models in Serbian Financial Market. Economic analysis, 41 (1-2). pp. 73-87. ISSN 0013-3213

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Abstract

The goal of this article is to give theoretical and empirical review for diagnostic checking of multivariate volatility processes. In theoretical part we presented three categories diagnostics for conditional heteroscedasticity models: portmanteau tests of the Ljung‐Box type, residual‐based diagnostics (RB) and Lagrange Multiplier (LM) tests. In our empirical analysis we used the Ljung‐Box statistics (Q‐test) of standardized residuals, those of its squared, as well as of the cross product of standardized residuals to check the model adequacy. Our results showed that the residual‐based diagnostics provide a useful check for model adequacy. Overall result is that models perform statistically well.

Item Type: Article
Additional Information: COBISS.ID=1024385424
Uncontrolled Keywords: Multivariate GARCH models, Ljung‐Box statistics,   Residual‐based diagnostics, Lagrange Multiplier test
Subjects: H Social Sciences > H Social Sciences (General)
Depositing User: Jelena Banovic
Date Deposited: 29 Jan 2016 18:04
Last Modified: 29 Jan 2016 18:04
URI: http://ebooks.ien.bg.ac.rs/id/eprint/296

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