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Research ArticleOpen accessIn the author namesStatistical Size and Power of Eight Normality Tests in Presence of GARCH (1 1) ErrorsJulio César Alonso, Daniela EstradaIn this work, we assess the power and size of eight normality tests underthe assumption that errors follow a GARCH (1, 1) process by using MonteCarlo simulations. Four results stand out. First, the presence of a GARCH(1, 1) process increases the probability of making type I error. Second, Pearsonnormality test is recommended if it is assumed that errors follow a … …Journal of Mathematics and Statistics, Vol. 15, Issue 1 · 11 Feb 2019 · 6,994 accessesView PDF Cite

2 results for “Daniela Estrada”