Question: What is an appropriate approach to testing for 'ARCH effects'? (a) Run a regression, collect the residuals, regress the squared residuals on their lags and

What is an appropriate approach to testing for 'ARCH effects'? (a) Run a regression, collect the residuals, regress the squared residuals on their lags and conduct a hypothesis test to check whether the coefficients of the lagged squared residuals are equal to zero (b) Run a regression, collect the fitted values, regress the fitted values on their squared lags and conduct a hypothesis test to check whether the coefficients of the lagged squared fitted values are equal to zero (c) Employ White's test (d) All of the above.

Step by Step Solution

There are 3 Steps involved in it

1 Expert Approved Answer
Step: 1 Unlock blur-text-image
Question Has Been Solved by an Expert!

Get step-by-step solutions from verified subject matter experts

Step: 2 Unlock
Step: 3 Unlock

Students Have Also Explored These Related Mathematics Questions!