Omitted asymmetric persistence and conditional heteroskedasticity

Resumo

We show that asymmetric persistence induces ARCH effects, but the LM-ARCH test has power against it. On the other hand, the test for asymmetric dynamics proposed by Koenker and Xiao (2004) has correct size under the presence of ARCH errors. These results suggest that the LM-ARCH and the Koenker-Xiao tests may be used in applied research as complementary tools.

Ficha do documento

Tipo

Artigo científico

Ano

2006

Instituição

Fundação Getulio Vargas

Fonte

Repositório da FGV

Idioma

Inglês

Acesso

Acesso aberto

Identificador

oai:repositorio.fgv.br:10438/24985

Palavras-chave

Conditional heteroskedasticityAsymmetric persistenceARCH effectsLM-ARCHFinançasVolatilidade (Finanças)Análise de séries temporais