10.1080/07474939908800354

On regression-based tests for persistence in logarithmic volatility models

Abstract

Building on the work of Pantula (1986), this paper discusses how the hypothesis of conditional variance nonstationarity in the logarithmic family of generalized autoregressive conditional heteroskedasticity (GARCH) and stochastic volatility processes may be tested using regression-based tests. The latter are easy to implement, have well-defined large-sample distributions, and are less sensitive to structural changes than tests based on the quasimaximum likelihood estimator.conditional heteroskedasticity, nonlinear Garch, persistence, stochastic volatility, regime changes, unit root,

Similar works

Full text

thumbnail-image

Research Papers in Economics

Provided original full text link
Last time updated on 7/6/2012

This paper was published in Research Papers in Economics.

Having an issue?

Is data on this page outdated, violates copyrights or anything else? Report the problem now and we will take corresponding actions after reviewing your request.