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

Felicia Ramona Birau
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Felicia Ramona Birau: UNIVERSITY OF CRAIOVA,FACULTY OF ECONOMICS AND BUSINESS ADMINISTRATION

Annals - Economy Series, 2012, vol. 4I, 74-77

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.

Keywords: heteroskedasticity; linear dependence; variance; volatility clustering; non-normal distribution (search for similar items in EconPapers)
Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:cbu:jrnlec:y:2012:v:4i:p:74-77

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