Academic Journals Database
Disseminating quality controlled scientific knowledge

ECONOMETRIC APPROACH OF HETEROSKEDASTICITY ON FINANCIAL TIME SERIES IN A GENERAL FRAMEWORK

ADD TO MY LIST
 
Author(s): FELICIA RAMONA BIRĂU

Journal: Analele Universităţii Constantin Brâncuşi din Târgu Jiu : Seria Economie
ISSN 1844-7007

Volume: 4.I;
Issue: 4.I;
Start page: 74;
Date: 2012;
VIEW PDF   PDF DOWNLOAD PDF   Download PDF Original page

Keywords: heteroskedasticity | linear dependence | variance | volatility clustering | non-normal distribution

ABSTRACT
The aim of this paper is to provide an overview of the diagnostic tests for detecting heteroskedasticity on financial time series. In financial econometrics, heteroskedasticity is generally associated with cross sectional data but can also be identified modeling time series data. The presence of heteroscedasticity in financial time series can be caused by certain specific factors, like a model misspecification, inadequate data transformation or as a result of certain outliers. Heteroskedasticity arise when the homoskedasticity assumption is violated. Testing for the presence of heteroskedasticity in financial time is performed by applying diagnostic test, such as : Breusch-Pagan LM test, White’s test, Glesjer LM test, Harvey-Godfrey LM test, Park LM test and Goldfeld-Quand test.
RPA Switzerland

Robotic Process Automation Switzerland

    

Tango Rapperswil
Tango Rapperswil