INFORMATION CHANGE THE WORLD

International Journal of Engineering and Manufacturing(IJEM)

ISSN: 2305-3631 (Print), ISSN: 2306-5982 (Online)

Published By: MECS Press

IJEM Vol.2, No.2, Apr. 2012

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 , Yuan Li

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.

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