Picture Perfect: Visualizing Statistical and Substantive Significance of ARCH and GARCH Models

• In Event: Models for Time-Series Cross-Sectional Data

Brief Overview

We introduce a strategy to dynamically plot the effects in the heteroskedastic variance eq over time in order to assess substantive and statistical significance of GARCH models.

Authors

• Allyson L. Benton, City, University of London

• Soren Jordan, Auburn University

• Andrew Quayle Philips, University of Colorado Boulder