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Confidence Intervals for the Autocorrelations of the Squares of GARCH Sequences

  • Piotr Kokoszka
  • Gilles Teyssière
  • Aonan Zhang
Conference paper
Part of the Lecture Notes in Computer Science book series (LNCS, volume 3039)

Abstract

We compare three methods of constructing confidence intervals for sample autocorrelations of squared returns modeled by models from the GARCH family. We compare the residual bootstrap, block bootstrap and subsampling methods. The residual bootstrap based on the standard GARCH(1,1) model is seen to perform best.

Keywords

Coverage Probability GARCH Model Series Length Solid Horizontal Line Block Bootstrap 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer-Verlag Berlin Heidelberg 2004

Authors and Affiliations

  • Piotr Kokoszka
    • 1
  • Gilles Teyssière
    • 2
  • Aonan Zhang
    • 3
  1. 1.Mathematics and StatisticsUtah State UniversityLoganUSA
  2. 2.NBG Bank (Paris) & ASEF 
  3. 3.Mathematics and StatisticsUtah State University 

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