Two Sample Test Procedures for Linear Rank Statistics for Garch Processes

Title & Authors
Two Sample Test Procedures for Linear Rank Statistics for Garch Processes
Chandra S. Ajay; Vanualailai Jito; Raj Sushil D.;

Abstract
This paper elucidates the limiting Gaussian distribution of a class of rank order statistics {$\small{T_N}$} for two sample problem pertaining to empirical processes of the squared residuals from two independent samples of GARCH processes. A distinctive feature is that, unlike the residuals of ARMA processes, the asymptotics of {$\small{T_N}$} depend on those of GARCH volatility estimators. Based on the asymptotics of {$\small{T_N}$}, we empirically assess the relative asymptotic efficiency and effect of the GARCH specification for some GARCH residual distributions. In contrast with the independent, identically distributed or ARMA settings, these studies illuminate some interesting features of GARCH residuals.
Keywords
GARCH process;squared residuals;empirical processes;rank order statistic;asymptotic relative efficiency;GARCH volatility effect;
Language
English
Cited by
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