A note on the Jarque-Bera normality test for GARCH innovations

作者：Lee Sangyeol; Park Siyun; Lee Taewook^*

来源：Journal of the Korean Statistical Society, 2010, 39(1): 93-102.

DOI：10.1016/j.jkss.2009.04.005

• Normality test
• GARCH models
• JB test
• Residual based test
• Skewness
• Kurtosis

In this paper, we consider the validity of the Jarque-Bera normality test whose construction is based on the residuals, for the innovations of GARCH (generalized autoregressive conditional heteroscedastic) models. It is shown that the asymptotic behavior of the original form of the JB test adopted in this paper is identical to that of the test statistic based on true errors. The simulation study also confirms the validity of the original form since it outperforms other available normality tests.

• 出版日期2010-3