Normality test for multivariate conditional heteroskedastic dynamic regression models |
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| Authors: | Sangyeol Lee Chi Tim Ng |
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| Institution: | Department of Statistics, Seoul National University, Seoul, 151-747, Republic of Korea Department of Applied Mathematics, The Hong Kong Polytechnic University, Hong Kong |
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| Abstract: | In this paper, we study the Jarque-Bera test for the normality of the innovations of multivariate GARCH models. It is shown that the test is distribution free and its limiting null distribution is a chi-square distribution. |
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| Keywords: | C4 C12 |
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