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heteroscedasticity |
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heteroscedasticity an irregular scattering of values in a series of distributions; accompanied by a comparable scatter of variances. How to thank TFD for its existence? Tell a friend about us, add a link to this page, add the site to iGoogle, or visit webmaster's page for free fun content. |
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| Table 2 present the results on different diagnostic analysis on the optimal specification to assess the robustness of the model and it was found to satisfy all the test namely test of normality, Lagrange multiplier test of serial correlation, the Autoregressive Conditional Heteroskedastic (ARCH) test and lastly Ramsey's RESET test for functional form with an [R. It provides coverage of seasonal decomposition, mean reversion, heavy-tailed distributions, exponential smoothing, spike pre-processing, autoregressive time series including models with exogenous variables and heteroskedastic (GARCH) components, regime-switching models, interval forecasts, jump-diffusion models, derivatives pricing and the market price of risk. As consequence, we examine the performance of alternative models for conditional heteroskedastic time series. |
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