| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5059954 | Economics Letters | 2013 | 5 Pages |
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.
⺠The Box-Cox transformed threshold GARCH models were considered for leverage effect of financial time series. ⺠We studied two different tests for the normality of innovations and parameter change. ⺠Asymptotic distributions of two tests are derived for their validation. ⺠Asymptotic distributions of two tests based on residuals are identical to the one based on true innovations.
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Authors
Taewook Lee,