Communications for Statistical Applications and Methods

The Korean Statistical Society (한국통계학회)
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Two Sample Test Procedures for Linear Rank Statistics for Garch Processes

  • Chandra S. Ajay (Department of Mathematics and Computing Science University of the South Pacific Suva) ;
  • Vanualailai Jito (Department of Mathematics and Computing Science University of the South Pacific Suva) ;
  • Raj Sushil D. (Department of Mathematics and Computing Science University of the South Pacific Suva)
  • Published : 2005.12.01
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Abstract

This paper elucidates the limiting Gaussian distribution of a class of rank order statistics {$T_N$} 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 {$T_N$} depend on those of GARCH volatility estimators. Based on the asymptotics of {$T_N$}, 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.

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References

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