Testing for GARCH effects: A one-sided approach

DOI10.1016/S0304-4076(97)00110-3zbMath0962.62083WikidataQ128090036 ScholiaQ128090036MaRDI QIDQ1298438

Antonis Demos, Enrique Sentana

Publication date: 19 June 2001

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

Lagrange multiplierlikelihood ratioinequality constraintsWald tests

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Non-Markovian processes: hypothesis testing (62M07)

Related Items

Small Sample Estimation Bias in GARCH Models with Any Number of Exogenous Variables in the Mean Equation ⋮ The use of aggregate time series for testing conditional heteroscedasticity ⋮ New testing approaches for mean-variance predictability ⋮ Selecting the order of an ARCH model ⋮ Testing conditional heteroscedasticity with systematic sampling of time series ⋮ The uncertainties about the relationships risk-return-volatility in the Spanish stock market ⋮ A structured variational learning approach for switching latent factor models ⋮ Estimation Under Inequality Constraints: Semiparametric Estimation of Conditional Duration Models ⋮ Test for dispersion constancy in stochastic differential equation models ⋮ Identification, estimation and testing of conditionally heteroskedastic factor models ⋮ Simulation-based finite-sample tests for heteroskedasticity and ARCH effects ⋮ Testing for reduction to random walk in autoregressive conditional heteroskedasticity models ⋮ Bahadur intercept with applications to one-sided testing ⋮ Optimal prediction with conditionally heteroskedastic factor analysed hidden Markov models ⋮ TESTING GARCH-X TYPE MODELS ⋮ Evaluating GARCH models. ⋮ Bootstrap inference on the boundary of the parameter space, with application to conditional volatility models

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• A heteroscedasticity-consistent covariance matrix estimator for time series regressions
• Testing inequality constraints in linear econometric models
• A note on Studentizing a test for heteroscedasticity
• A Lagrange multiplier test for GARCH models
• ARCH modeling in finance. A review of the theory and empirical evidence
• Generalized autoregressive conditional heteroscedasticity
• On the application of robust, regression-based diagnostics to models of conditional means and conditional variances
• Temporal Aggregation of Garch Processes
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• ARMA MODELS WITH ARCH ERRORS
• Pseudo Maximum Likelihood Methods: Theory
• On the Rigour of Some Misspecification Tests for Modelling Dynamic Relationships
• Wald Criteria for Jointly Testing Equality and Inequality Restrictions
• Asymptotic distribution of test statistics in the analysis of moment structures under inequality constraints
• Diagnostic tests as residual analysis
• Asymptotic Properties of Maximum Likelihood Estimators and Likelihood Ratio Tests Under Nonstandard Conditions
• Likelihood Ratio Test, Wald Test, and Kuhn-Tucker Test in Linear Models with Inequality Constraints on the Regression Parameters
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
• Hypothesis Testing When a Nuisance Parameter is Present Only Under the Alternative
• Autoregressive Conditional Density Estimation
• Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
• An introduction to econometric applications of empirical process theory for dependent random variables
• On asymptotic tests of composite hypotheses in nonstandard conditions
• A test for the presence of conditional heteroskedasticity within arch-m framework
• Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models
• Quadratic ARCH Models
• Asymptotic properties of homogeneity tests
• Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis
• On the Distribution of the Likelihood Ratio
• Maximum Likelihood Estimation of Misspecified Models