Testing for EGARCH Against Stochastic Volatility Models

DOI10.1111/j.1467-9892.2005.00394.xzbMath1092.62088OpenAlexW3125705734MaRDI QIDQ5467599

Masahito Kobayashi, Xiuhong Shi

Publication date: 24 May 2006

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2005.00394.x

zbMATH Keywords

Lagrange multiplier teststochastic volatility (SV) modelexponential generalized autoregressive conditionally heteroscedastic (EGARCH) models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Monte Carlo methods (65C05)

Related Items (3)

Testing for jumps in the EGARCH process ⋮ Testing for volatility jumps in the stochastic volatility process ⋮ Testing for jumps in the stochastic volatility models

Cites Work

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• Modified Lagrange multiplier tests for problems with one-sided alternatives
• Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study
• Stochastic volatility in asset prices. Estimation with simulated maximum likelihood
• Generalized autoregressive conditional heteroscedasticity
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models

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