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Evaluating GARCH Models Author info | Abstract | Publisher info | Download info | Related research | Statistics Stefan Lundbergh (Stockholm School of Economics)
Timo Teräsvirta () (Stockholm School of Economics)
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This paper suggests a unified framework for testing the adequacy of an estimated GARCH model. Nothing more complicated than standard asymptotic theory is required. Parametric tests of no ARCH in standardized errors, symmetry, and parameter constancy are suggested. Estimating the alternative when the null hypothesis is rejected may give useful ideas of how to improve the specification. It is also shown that the recent portmanteau test of Li and Mak (1994) is asymptotically equivalent to our test of no ARCH in the standardized error process.
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99-008/4.
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Date of creation: 18 Feb 1999Date of revision:
Handle: RePEc:dgr:uvatin:19990008Contact details of provider: Web page: http://www.tinbergen.nl/
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References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.: Fiorentini, Gabriele & Calzolari, Giorgio & Panattoni, Lorenzo, 1996.
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Glosten, Lawrence R & Jagannathan, Ravi & Runkle, David E, 1993.
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