Normality test for multivariate conditional heteroskedastic dynamic regression models

Sangyeol Lee and Chi Tim Ng

Economics Letters, 2011, vol. 111, issue 1, 75-77

Abstract: In this paper, we study the Jarque-Bera test for the normality of the innovations of multivariate GARCH models. It is shown that the test is distribution free and its limiting null distribution is a chi-square distribution.

Keywords: Jarque-Bera; test; Normality; test; Multivariate; GARCH; models; Distribution; free; test (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (1)

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