An Alternative Robust Test of Lagrange Multiplier for ARCH Effect
Journal Title: International Journal of Mathematics and Statistics Invention - Year 2017, Vol 5, Issue 8
Abstract
ARCH model has become very popular in that it enables the econometrician to estimate the variance of a series at a particular point in time. The aim of my paper is as follows: to study the tests of ARCH model in time series data, to study the effect of outliers in ARCH model, to study the test of ARCH model in time series data after using robust method and to study the test effect of ARCH model in time series data by simulation. In this paper, I propose a new robust t-test of ARCH. The usefulness of the proposed method is investigated by some well-known data sets as well as Monte Carlo simulation studies.
Authors and Affiliations
Md. Siraj-Ud- Doulah, Md. Bipul Hossen
Keywords
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