ASYMPTOTICS FOR GARCH SQUARED RESIDUAL CORRELATIONS

István Berkes, Lajos Horvath and Piotr Kokoszka

Econometric Theory, 2003, vol. 19, issue 4, 515-540

Abstract: We develop an asymptotic theory for quadratic forms of the autocorrelations of squared residuals from a GARCH(p,q) model. Denoting by , k ≥ 1, these autocorrelations computed from a realization of length n, we show that the statistic is a matrix computed from the data, converges to the chi-square distribution with K degrees of freedom for any 1 ≤ i1

Date: 2003
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Persistent link: https://EconPapers.repec.org/RePEc:cup:etheor:v:19:y:2003:i:04:p:515-540_19

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