Essays about: "McLeod-Li test"

Found 2 essays containing the words McLeod-Li test.

1. 1. Are GARCH Models Appropriate for Analysing Volatility Structures in Fundamental Valuations of the OMXS30?

   University essay from Lunds universitet/Statistiska institutionen

   Author : Gustav Furenmo; [2019]
   Keywords : GARCH; OMXS30; financial time series; volatility; heteroscedasticity; stationarity; McLeod-Li test; normal distribution; student-t distribution; skewed student-t distribution; generalised error distribution; skewed generalised error distribution; Mathematics and Statistics;

   Abstract : This thesis investigates the volatility structures found in forward-looking fundamental valuations of the Swedish stock index OMXS30. The evaluated data constitutes daily observations of P/E ratios based on twelve months earnings estimates during the period 2009-01-02 until 2018-10-18. READ MORE

3. 2. ARMA and GARCH models for silver, nickel and copper price returns

   University essay from Lunds universitet/Statistiska institutionen

   Author : Mats Hansson; Ola Andersson; Olle Holmberg; [2015]
   Keywords : ARMA; GARCH; MASE; sMAPE; Heteroscedasticity; Stationarity; Ljung-Box test; McLeod-Li test; Running Standard Deviation; Forecast value.; Mathematics and Statistics;

   Abstract : This thesis compares Auto Regressive Moving Average (ARMA) and Generalized Auto Regressive Conditional Heteroscedacity (GARCH) models for three metal commodities. ARMA models have an unconditionally non-random and constant variance, which typically serves well in effectively representing homoscedastic data. READ MORE