KFU. Card publication. On a Statistical Criterion for the Heterogeneity of Second-Order Moments

KAZAN
FEDERAL UNIVERSITY

- RUS
- 中文
- ES

ON A STATISTICAL CRITERION FOR THE HETEROGENEITY OF SECOND-ORDER MOMENTS

Form of presentation

Articles in international journals and collections

Year of publication

2022

Язык

английский

Authors, employees of KFU

Khaliullin Samigulla Garifullovich, author

Bibliographic description in the original language

Haliullin S.G., On a Statistical Criterion for the Heterogeneity of Second-Order Moments//Russian Mathematics. - 2022. - Vol.66, Is.8. - P.76-78.

Annotation

The presence of heteroscedasticity (heterogeneity in second-order moments) in various data leads to known errors in statistical inference if it is not noticed in time. This problem is most often encountered in the tasks of checking the adequacy of a particular model in regression or time series analysis. If the model is adequate, the residuals should be homoscedastic. In the study of the financial market, it is quite common to find heterogeneity in the second order moments in some financial indices such as logarithmic returns in stock prices. The paper considers a criterion for testing the hypothesis of homoscedasticity in statistical data.

Keywords

heteroscedasticity, conditionally Gaussian models, volatility

The name of the journal

Russian Mathematics

URL

https://doi.org/10.3103/S1066369X22080047

Please use this ID to quote from or refer to the card

https://repository.kpfu.ru/eng/?p_id=278217&p_lang=2

Full metadata record

Field DC	Value	Language
dc.contributor.author	Khaliullin Samigulla Garifullovich	ru_RU
dc.date.accessioned	2022-01-01T00:00:00Z	ru_RU
dc.date.available	2022-01-01T00:00:00Z	ru_RU
dc.date.issued	2022	ru_RU
dc.identifier.citation	Haliullin S.G., On a Statistical Criterion for the Heterogeneity of Second-Order Moments//Russian Mathematics. - 2022. - Vol.66, Is.8. - P.76-78.	ru_RU
dc.identifier.uri	https://repository.kpfu.ru/eng/?p_id=278217&p_lang=2	ru_RU
dc.description.abstract	Russian Mathematics	ru_RU
dc.description.abstract	The presence of heteroscedasticity (heterogeneity in second-order moments) in various data leads to known errors in statistical inference if it is not noticed in time. This problem is most often encountered in the tasks of checking the adequacy of a particular model in regression or time series analysis. If the model is adequate, the residuals should be homoscedastic. In the study of the financial market, it is quite common to find heterogeneity in the second order moments in some financial indices such as logarithmic returns in stock prices. The paper considers a criterion for testing the hypothesis of homoscedasticity in statistical data.	ru_RU
dc.language.iso	ru	ru_RU
dc.subject	heteroscedasticity	ru_RU
dc.subject	conditionally Gaussian models	ru_RU
dc.subject	volatility	ru_RU
dc.title	On a Statistical Criterion for the Heterogeneity of Second-Order Moments	ru_RU
dc.type	Articles in international journals and collections	ru_RU