On Jarque–Bera normality and cusum parameter change tests for BCTT-GARCH models

Taewook Lee

Economics Letters, 2013, vol. 119, issue 1, 50-54

Abstract: In this paper, we study the Jarque–Bera (JB) and cusum tests for the normality of innovations and parameter change in BCTT-GARCH models. In order to demonstrate the validity of JB normality and cusum parameter change tests, we derive their limiting null distributions under mild conditions.

Keywords: Parameter change; Cusum test; Jarque–Bera test; Normality test; Threshold GARCH model (search for similar items in EconPapers)
JEL-codes: C12 C2 C4 (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:119:y:2013:i:1:p:50-54

DOI: 10.1016/j.econlet.2013.01.013

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