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There are different methodologies to detect a change in the market efficiency, both in the market and firm-specific cases. In the FIRM-SPECIFIC case, the most common procedure is the event study methodology; you can find how to construct an event-study case explained in Kothari & Warner (2006), who collected all the event study methodology implemented ...


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This are some comments to your problem. It appears that your are not sending appropriate series to the function. Try maegarch14<-(abs(garchf14$meanForecast-brentlogtest1[1:126])) and maeegarch14<-(abs(fitted(egarchf14)-brentlogtest1[1:126])). You need to pass at least vector series to that function. Are you sure h is 126? your result said 253! For ...


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So you are asking whether the function Box.test requires standardized or raw residuals as input? I do not know this function but as you mention that the results change based on your input it should be such that the function requires standardized values. In case a standardization is implemented directly the output should not differ because you either plug-in ...



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