Evaluation of Ashley and Patterson model diagnostic tool in selection of ARCH/GARCH family models: case of natural rubber prices at the Colombo auction
<p>There is a substantial amount of literature in favor of models in the ARCH/GARCH family as premier class of models for modeling financial and economic returns are of nonlinear form. However, there are many gaps in nonlinear model diagnosis and none of the nonlinearity tests are in wide acce...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Postgraduate Institute of Agriculture, University of Peradeniya
2015-09-01
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| Series: | Tropical Agricultural Research |
| Subjects: | |
| Online Access: | https://tar.sljol.info/articles/8034 |