Fiszeder, Piotr; Orzeszko, Witold - In: Czech Journal of Economics and Finance (Finance a uver) 62 (2012) 5, pp. 430-449
The iid property of the model’s residuals is a crucial criterion for assessing the fit of the model to the data. GARCH-class models are the most commonly used nonlinear models in financial econometrics. In this paper various uni- and multivariate GARCH-class models were applied to selected...