“…Among the various tests of elliptical symmetry available in the literature, we considered the MPQ test of Manzotti, Pérez, and Quiroz [
27], which is implemented by the
MPQ() function of the ellipticalsymmetry package [
3]. We use this test because it preserves the claimed nominal significance level [
2]. The resulting
‐value is
, suggesting the rejection of the null hypothesis of elliptical symmetry, the type of symmetry underlying the symmetric GH and NIG models, at the common
significance level.…”