Caporale, GM; Ntantamis, C; Pantelidis, T; Pittis, N - 2004
standardized residuals of an estimated GARCH(1,1) model as a test for the adequacy of this speci?cation. We review the conditions … issue of their necessity, using the ?exible framework offered by the GARCH(1,1) model in terms of moment, memory and time …