Search found 1 match
- Tue Dec 07, 2010 1:33 pm
- Forum: Econometric Discussions
- Topic: ARCH test
- Replies: 0
- Views: 3875
ARCH test
Big Hello to everyone, I would like to ask something .. I regress monthly excess returns of a mutual fund on monthly excess returns of the market portfolio. I conduct the following tests: White test (for heteroskedasticity), Breusch-Godfrey test (for autocorrelation), ARCH test, Ramsey RESET test an...