Geodesic
On a statistical criterion for the heterogeneity of second-order moments
Izvestiâ vysših učebnyh zavedenij. Matematika, no. 8 (2022), pp. 93-96.

Voir la notice de l'article provenant de la source Math-Net.Ru

In this paper we consider the problem of heteroscedasticity in the theory of time series. The presence of heteroscedasticity (heterogeneity in second-order moments) in various data leads to known errors in statistical conclusions if it is not possible to notice this problem in time. This problem is most often encountered in the tasks of verifying the adequacy of a particular model in regression analysis or time series analysis. If the model is adequate, the residuals should be homoscedastic. When studying the financial market, it is quite common to find heterogeneity of second-order moments in some financial indices, such as logarithmic profit in stock prices. The paper considers a criterion for testing the hypothesis of homoscedasticity in statistical data.
Mots-clés : heteroscedasticity, conditionally Gaussian models, volatility. 
@article{IVM_2022_8_a9,
     author = {S. G. Khaliullin},
     title = {On a statistical criterion for the heterogeneity of second-order moments},
     journal = {Izvesti\^a vys\v{s}ih u\v{c}ebnyh zavedenij. Matematika},
     pages = {93--96},
     publisher = {mathdoc},
     number = {8},
     year = {2022},
     language = {ru},
     url = {https://geodesic-test.mathdoc.fr/item/IVM_2022_8_a9/}
}
TY  - JOUR
AU  - S. G. Khaliullin
TI  - On a statistical criterion for the heterogeneity of second-order moments
JO  - Izvestiâ vysših učebnyh zavedenij. Matematika
PY  - 2022
SP  - 93
EP  - 96
IS  - 8
PB  - mathdoc
UR  - https://geodesic-test.mathdoc.fr/item/IVM_2022_8_a9/
LA  - ru
ID  - IVM_2022_8_a9
ER  - 
%0 Journal Article
%A S. G. Khaliullin
%T On a statistical criterion for the heterogeneity of second-order moments
%J Izvestiâ vysših učebnyh zavedenij. Matematika
%D 2022
%P 93-96
%N 8
%I mathdoc
%U https://geodesic-test.mathdoc.fr/item/IVM_2022_8_a9/
%G ru
%F IVM_2022_8_a9
S. G. Khaliullin. On a statistical criterion for the heterogeneity of second-order moments. Izvestiâ vysših učebnyh zavedenij. Matematika, no. 8 (2022), pp. 93-96. https://geodesic-test.mathdoc.fr/item/IVM_2022_8_a9/

[1] Shiryaev A. N., Osnovy stokhasticheskoi finansovoi matematiki, FAZIS, M., 1998

[2] Morgan J. P., Risk Metrics, Technical Document, J. P. Morgan/Reuters, New York, 1996