Testing constancy of unconditional variance in volatility models by misspecification and specification tests

DOI10.1515/snde-2015-0033OpenAlexW2264807981MaRDI QIDQ2691672

Annastiina Silvennoinen, Timo Teräsvirta

Publication date: 30 March 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2015-0033

zbMATH Keywords

modeling volatilityautoregressive conditional heteroskedasticitytesting parameter constancytime-varying GARCH

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

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• Modelling volatility by variance decomposition
• Neglecting parameter changes in GARCH models
• Generalized autoregressive conditional heteroscedasticity
• Modelling long memory and structural breaks in conditional variances: an adaptive FIGARCH approach
• A WARP-SPEED METHOD FOR CONDUCTING MONTE CARLO EXPERIMENTS INVOLVING BOOTSTRAP ESTIMATORS
• Testing linearity against smooth transition autoregressive models
• SIMULTANEOUSLY MODELING CONDITIONAL HETEROSKEDASTICITY AND SCALE CHANGE
• Specification and testing of multiplicative time-varying GARCH models with applications

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