Re-examining the sources of heteroskedasticity: The paradigm of noisy chaotic models

Catherine Kyrtsou

Physica A: Statistical Mechanics and its Applications, 2008, vol. 387, issue 27, 6785-6789

Abstract: In this paper, we analyze the rich dynamic properties of the noisy chaotic model developed by Kyrtsou [C. Kyrtsou, Evidence for neglected linearity in noisy chaotic models, International Journal of Bifurcation and Chaos 15 (10) (2005)] considering homoskedastic errors, with the aim of deriving information about possible links between noisy chaotic dynamics and ARCH effects. With the joint application of the Engle [R.F. Engle, Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation, Econometrica 50 (1982) 987–1007] and McLeod–Li [A.I. McLeod, W.K. Li, Diagnostic checking ARMA time series models using squared-residuals autocorrelations, Journal of Time Series Analysis 4 (1983) 269–273] tests for non-linearity in the second moment, we attempt to show how highly non-linear models can exhibit heteroskedasticity when no heteroskedastic structure is assumed by construction.

Keywords: Heteroskedasticity; Noisy chaos; Endogenous dynamics; Econophysicss (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (9)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:387:y:2008:i:27:p:6785-6789

DOI: 10.1016/j.physa.2008.09.008

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