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Regression-Based Tests for Persistence in Conditional Variances

Author

Listed:
  • Psaradakis, Z.
  • Tzavalis, E.

Abstract

This paper considers regression-based test criteria for the hypothesis of conditional variance nonstationary in the logarithmic family of GARCH processes. The tests are based on teh ARMA representations that appropriate nonlinear transformations of GARCH-type processes admit. Simulation experiments investigate the performance of the tests in finite samples, both in the presence and absence of a structural change in the conditional variance process. The methods are also used to test the hypothesis of integration in variance for some economic time series.

Suggested Citation

  • Psaradakis, Z. & Tzavalis, E., 1995. "Regression-Based Tests for Persistence in Conditional Variances," Discussion Papers 9501, University of Exeter, Department of Economics.
    • Handle: RePEc:exe:wpaper:9501
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    Cited by:

    1. Leeves, Gareth, 2007. "Asymmetric volatility of stock returns during the Asian crisis: Evidence from Indonesia," International Review of Economics & Finance, Elsevier, vol. 16(2), pages 272-286.
    2. Henry, O.T.J., 1995. "Modelling the Assymetry of Stock Market Volatility," Department of Economics - Working Papers Series 487, The University of Melbourne.

    More about this item

    Keywords

    UNIT ROOTS; ECONOMETRICS;

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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