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The robustness of modified unit root tests in the presence of GARCH
[Zeitschriftenartikel]
Abstract The research of Kim and Schmidt (1993) is extended to examine the properties of modified Dickey-Fuller unit root tests in the presence of generalised autoregressive conditional heteroskedasticity (GARCH). Using Monte Carlo simulation, the properties of the tests are examined for a range of GARCH pro... mehr
The research of Kim and Schmidt (1993) is extended to examine the properties of modified Dickey-Fuller unit root tests in the presence of generalised autoregressive conditional heteroskedasticity (GARCH). Using Monte Carlo simulation, the properties of the tests are examined for a range of GARCH processes over alternative sample sizes. Oversizing is observed for all tests, with the extent of size distortion driven by the volatility, rather than the persistence, of the underlying GARCH process. While the original Dickey-Fuller test is found to exhibit greater size distortion than the modified tests, the modified tests are found to be substantially oversized when the GARCH process exhibits a high degree of volatility, even for large samples.... weniger
Klassifikation
Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik
Allgemeines, spezielle Theorien und "Schulen", Methoden, Entwicklung und Geschichte der Wirtschaftswissenschaften
Methode
Theorieanwendung
Freie Schlagwörter
GARCH models; Time Series Economics; Numerical Simulation; Quantitative Finance
Sprache Dokument
Englisch
Publikationsjahr
2006
Seitenangabe
S. 359-363
Zeitschriftentitel
Quantitative Finance, 6 (2006) 4
DOI
https://doi.org/10.1080/14697680600702045
Status
Postprint; begutachtet (peer reviewed)
Lizenz
PEER Licence Agreement (applicable only to documents from PEER project)