Confidence Intervals for the Autocorrelations of the Squares of GARCH Sequences
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.
KeywordsCoverage Probability GARCH Model Series Length Solid Horizontal Line Block Bootstrap
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