Evaluating exponential GARCH models
AbstractIn this paper, a unified framework for testing the adequancy of an estimated EGARCH model is presented. The tests are Lagrange multiplier or Lagrange multiplier type tests and include testing an EGARCH model against a higher-order one and testing parameter constancy. Furthermore, various existing ways of testing the EGARCH model against GARCH one are investigated as another check of model adequacy. This is done by size and power simulations. Small-sample properties of the other tests are also investigated by simulations.
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Bibliographic InfoPaper provided by Stockholm School of Economics in its series Working Paper Series in Economics and Finance with number 564.
Length: 25 pages
Date of creation: 27 Aug 2004
Date of revision: 03 Sep 2004
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More information through EDIRC
evalation of volatility models; modelling volatility; parameter constancy; GARCH;
Find related papers by JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
This paper has been announced in the following NEP Reports:
- NEP-ECM-2004-09-12 (Econometrics)
- NEP-ETS-2004-09-12 (Econometric Time Series)
- NEP-FIN-2004-09-12 (Finance)
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