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Keywords: Conditional heteroscedasticity
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Journal Articles
Journal:
Managerial Finance
Managerial Finance (2014) 40 (4): 395–415.
Published: 04 March 2014
..., it is a direct test for autoregressive conditional heteroscedasticity (ARCH) effects. The test statistic is based on the R2 of the following auxiliary regression: (Equation 3) Under the null-hypothesis of linear data generating mechanism, the LM test statistic NR2 would...
