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DATA-DRIVEN SCORE TEST OF FIT FOR CONDITIONAL DISTRIBUTION IN THE GARCH(l,l) MODEL
GARCH(1,l) model noise distribution efficient score vector score test BIC Schwarz selection rule
2009/9/18
A data-driven score test for a conditional distribution
in the GARCH(1,l) model is proposed. Conditional distribution assumption
is verified by a score test, obtained from nesting the null
density ...