Type 1 error rate and significance levels when using GARCH-type models
The purpose of this thesis is to test whether the probability of falsely rejecting a true null hypothesis of a model intercept being equal to zero is consistent with the chosen significance level when modelling the variance of the error term using GARCH (1,1), TGARCH (1,1) or IGARCH (1,1) models. We...
| Main Authors: | , |
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| Format: | Others |
| Language: | English |
| Published: |
Uppsala universitet, Statistiska institutionen
2019
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| Subjects: | |
| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-375770 |