Reexaminating the Sources of Heteroskedasticity: The Paradigm of Noisy Chaotic Models

Physica A, 2008

Posted: 18 Sep 2008

See all articles by Catherine Kyrtsou

Catherine Kyrtsou

University of Macedonia - Department of Economics; University of Strasbourg - BETA

Date Written: May 2008

Abstract

In this paper, we further analyse the rich dynamic properties of the noisy chaotic model developed by Kyrtsou (International Journal of Bifurcation and Chaos, 2005) considering homoskedastic errors, in the aim to derive information about possible linkages between noisy chaotic dynamics and ARCH effects. With the joint application of the Engle (1982) and McLeod-Li (1983) tests for non-linearity in the second moment, we attempt to show how highly non-linear models can exhibit heteroskedasticity when no heteroskedastic structure is assumed by construction.

Keywords: Heteroskedasticity, noisy chaos, endogenous dynamics, econophysics

Suggested Citation

Kyrtsou, Catherine, Reexaminating the Sources of Heteroskedasticity: The Paradigm of Noisy Chaotic Models (May 2008). Physica A, 2008, Available at SSRN: https://ssrn.com/abstract=1268312

Catherine Kyrtsou (Contact Author)

University of Macedonia - Department of Economics ( email )

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