Testing Coefficients of Autoregressive Conditional Heteroskedasticity Models by Graphical Approach

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Fengjing Cai 1,* Yuan Li 2

1. School of Mathematics & Information Science, Wenzhou University, Wenzhou, Zhejiang Province, China

2. School of Mathematics & Information Science, Guangzhou University, Guangzhou,Guangdong Province, China

* Corresponding author.

DOI: https://doi.org/10.5815/ijem.2012.02.11

Received: 19 Nov. 2011 / Revised: 10 Jan. 2012 / Accepted: 29 Feb. 2012 / Published: 6 Apr. 2012

Index Terms

Time Series Chain Graph, ARCH, GARCH


The graphical approach is applied to the autoregressive conditional heteroskedasticity time series models. After transformation, it is shown that the coefficients of GARCH model are the conditional correlation coefficients conditioned on the other components of the time series, then a new method is proposed to test the significance of the coefficients of GARCH model.

Cite This Paper

Fengjing Cai , Yuan Li,"Testing Coefficients of Autoregressive Conditional Heteroskedasticity Models by Graphical Approach", IJEM, vol.2, no.2, pp.71-78, 2012. DOI: 10.5815/ijem.2012.02.11


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