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A score statistic for testing the presence of a stochastic trend in conditional variances

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Listed:
  • Hong, Yongmiao
  • Linton, Oliver
  • McCabe, Brendan
  • Sun, Jiajing

Abstract

This article proposes a score test statistic for whether there is a stochastic trend in conditional variances of a GARCH process. We derive its null limiting distribution and demonstrate its properties through simulation and empirical studies.

Suggested Citation

  • Hong, Yongmiao & Linton, Oliver & McCabe, Brendan & Sun, Jiajing, 2022. "A score statistic for testing the presence of a stochastic trend in conditional variances," Economics Letters, Elsevier, vol. 213(C).
    • Handle: RePEc:eee:ecolet:v:213:y:2022:i:c:s0165176522000660
    DOI: 10.1016/j.econlet.2022.110394
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    References listed on IDEAS

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    1. Eric Jacquier & Nicholas G. Polson & Peter Rossi, "undated". "Stochastic Volatility: Univariate and Multivariate Extensions," Rodney L. White Center for Financial Research Working Papers 19-95, Wharton School Rodney L. White Center for Financial Research.
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    More about this item

    Keywords

    GARCH; Unit root; Score statistic; Stochastic trend;
    All these keywords.

    JEL classification:

    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General

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