论文信息 - Confidence Intervals for the Autocorrelations of the Squares of GARCH Sequences

Confidence Intervals for the Autocorrelations of the Squares of GARCH Sequences

We compare three methods of constructing confidence intervals for sample autocorrelations of squared returns modeled by models from the GARCH family. We compare the residual bootstrap, block bootstrap and subsampling methods. The residual bootstrap based on the standard GARCH(1,1) model is seen to perform best.

Piotr Kokoszka | Aonan Zhang | Gilles Teyssière

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