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Arc length
tests for comparing the dynamics between GARCH processes
Ferebee Tunno and Javier Muñoz Ruiz |
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Vol. 18 (2025), No. 3, 459–471
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Abstract |
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We present an arc length test that compares the conditional volatility structures between independent, stationary GARCH processes. A wide variety of simulations are conducted that reveal the power and error of this test to be reasonable and robust with some exceptions. An application involving the daily returns from four major penny cryptocurrencies is presented as well. The years 2020 and 2021 are considered, but since the daily closing prices in 2021 behave very differently from those in 2020, the two years are treated separately. |
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Keywords
conditional volatility, arc length, GARCH, cryptocurrency
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Mathematical Subject Classification
Primary: 60G10
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Milestones
Received: 23 June 2023
Revised: 6 January 2024
Accepted: 12 January 2024
Published: 28 April 2025
Communicated by Robert B. Lund
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Authors |
| Ferebee Tunno | |
| Department of Mathematics and
Statistics Arkansas State University Jonesboro, AR United States |
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| Javier Muñoz Ruiz | |
| Department of Mathematics and
Statistics Arkansas State University Jonesboro, AR United States |
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| © 2025 MSP (Mathematical Sciences Publishers). |
