On the Validity of the Jarque-Bera Normality Test in Conditionally Heteroskedastic Dynamic Regression Models

CEMFI Working Paper No. 0306

14 Pages Posted: 19 Apr 2003

See all articles by Gabriele Fiorentini

Gabriele Fiorentini

Universita di Firenze - Dipartimento di Statistica

Enrique Sentana

Centro de Estudios Monetarios y Financieros (CEMFI); Financial Markets Group; Centre for Economic Policy Research (CEPR)

Giorgio Calzolari

Universita di Firenze - Dipartimento di Statistica

Date Written: January 2003

Abstract

We show that the Jarque-Bera test, originally devised for constant conditional variance models with no functional dependence between conditional mean and variance parameters, can be safely applied to a broad class of GARCH-M models, but not to all.

Keywords: Skewness, Kurtosis, ARCH, Moment Tests

JEL Classification: C52, C15, C22

Suggested Citation

Fiorentini, Gabriele and Sentana, Enrique and Calzolari, Giorgio, On the Validity of the Jarque-Bera Normality Test in Conditionally Heteroskedastic Dynamic Regression Models (January 2003). CEMFI Working Paper No. 0306. Available at SSRN: https://ssrn.com/abstract=383980 or http://dx.doi.org/10.2139/ssrn.383980

Gabriele Fiorentini

Universita di Firenze - Dipartimento di Statistica ( email )

Viale Morgagni, 59
50134 Firenze
Italy
+39 055 4237 274 (Phone)
+39 055 4223 560 (Fax)

Enrique Sentana (Contact Author)

Centro de Estudios Monetarios y Financieros (CEMFI) ( email )

Casado del Alisal 5
28014 Madrid
Spain
+34 91 429 0551 (Phone)
+34 91 429 1056 (Fax)

HOME PAGE: http://www.cemfi.es/~sentana/

Financial Markets Group

Houghton Street
London School of Economics & Political Science (LSE)
London WC2A 2AE
United Kingdom
+44 20 7955 7002 (Phone)
+44 20 7852 3580 (Fax)

Centre for Economic Policy Research (CEPR)

London
United Kingdom

Giorgio Calzolari

Universita di Firenze - Dipartimento di Statistica ( email )

Viale Morgagni, 59
50134 Firenze
Italy
+39 055 4237 217 (Phone)
+39 055 4223 560 (Fax)

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