Resumen de On the validity of the jarque-bera normality test in conditionally heteroskedastic dynamic regression models

Gabriele Fiorentini, Enrique Sentana Iváñez, Giorgio Calzolari

• We show that the Jarque-Bera test, originally devised for constant conditional variance models with no functional dependence between conditional mean and variance parameters, can be safely applied to a broad class of GARCH-M models, but not to all.