Ever since the development of the Autoregressive Conditional Heteroskedasticity (ARCH) model (Engle, 1982), testing for the presence of ARCH has become a routine diagnostic. One popular method of testing for ARCH is 1 times the R2 from a regression of the squared residuals on p of its lags. This test has been shown to have a lagrange multiplier interpretation and is asymptotically distributed a...

We are interested in proposing approximations of a sequence probability measures the convex order by finitely supported still order. propose to alternate two types operators: transition according one-step martingale Markov kernel mapping measure its successor and spatial discretization through dual (also called Delaunay) quantization. In case autoregressive conditional heteroskedasticity (ARCH)...

This paper examines changes in foreign exchange rates with a focus on estimating the variance/covariance structure of the exchange rate time series. The use of a simulation based numerical integration algorithm frees the model speci-cation from restrictions imposed by technical considerations required to obtain analytical solutions. We estimate a vector ARCH (autoregressive conditional heterosk...

In this study, we analyse the implications of clean energy, oil and emission prices for energy sector stock in GCC region. so doing, estimate one-day-ahead value at risk (VaR) expected shortfall (ES) Saudi, Abu Dhabi Kuwaiti over short long trading positions using three different memory Autoregressive conditional heteroskedasticity (ARCH)/ Generalized(G)- ARCH models: fractionally integrated as...

We develop a new multivariate generalized ARCH (GARCH) parameterization suitable for testing the hypothesis that the optimal futures hedge ratio is constant over time, given that the joint distribution of cash and futures prices is characterized by autoregressive conditional heteroskedasticity (ARCH). The advantage of the new parameterization is that it allows for a flexible form of time-varyin...

Most studies on the asymmetric and non-linear properties of US business cycles exclude the dimension of asymmetric conditional volatility. Engle (1982) proposes an autoregressive conditional heteroskedasticity (ARCH) model to capture the time-varying volatility of inflation rates in the United Kingdom. Weiss (1984) finds evidence of ARCH in the US industrial production. The ARCH model is then e...

as the world trade is growing, exchange rate acts as a bridge between different economies and its volatility can affect price level, output, exports and imports. the purpose of this study is to investigate the effects of real exchange rate volatility on the export demand for the two products of apple and potato in the nine developing counteries of producing and exporting the two products during...

In this paper we investigate the properties of the Lagrange Multiplier LM test for autoregressive conditional heteroskedasticity ARCH and generalized ARCH GARCH in the presence of additive outliers AO s We show an alytically that both the asymptotic size and power are adversely a ected if AO s are neglected the test rejects the null hypothesis of homoskedasticity too often when it is in fact tr...

In this paper we investigate the properties of the Lagrange Multiplier (LM) test for autoregressive conditional heteroskedasticity (ARCH) and generalized ARCH (GARCH) in the presence of additive outliers (AO's). We show analytically that both the asymptotic size and power are adversely aaected if AO's are neglected: the test rejects the null hypothesis of homoskedasticity too often when it is i...