Psaradakis, Zacharias and Tzavalis, E. (1999) On regression-based tests for persistence in logarithmic volatility models. Econometric Reviews 18 (4), pp. 441-448. ISSN 0747-4938.
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.
Metadata
| Item Type: | Article |
|---|---|
| School: | Birkbeck Faculties and Schools > Faculty of Business and Law > Birkbeck Business School |
| Depositing User: | Sarah Hall |
| Date Deposited: | 21 Jul 2020 12:53 |
| Last Modified: | 02 Aug 2023 18:01 |
| URI: | https://eprints.bbk.ac.uk/id/eprint/32634 |
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