Evaluating exponential GARCH models
In 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.
|Date of creation:||27 Aug 2004|
|Date of revision:||03 Sep 2004|
|Contact details of provider:|| Postal: The Economic Research Institute, Stockholm School of Economics, P.O. Box 6501, 113 83 Stockholm, Sweden|
Phone: +46-(0)8-736 90 00
Fax: +46-(0)8-31 01 57
Web page: http://www.hhs.se/
More information through EDIRC
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.:
- Changli He & Timo Terasvirta & Hans Malmsten, 1999.
"Fourth Moment Structure of a Family of First-Order Exponential GARCH Models,"
Research Paper Series
29, Quantitative Finance Research Centre, University of Technology, Sydney.
- He, Changli & Ter svirta, Timo & Malmsten, Hans, 2002. "Moment Structure Of A Family Of First-Order Exponential Garch Models," Econometric Theory, Cambridge University Press, vol. 18(04), pages 868-885, August.
- He, Changli & Teräsvirta, Timo & Malmsten, Hans, 1999. "Fourth Moment Structure of a Family of First-Order Exponential GARCH Models," SSE/EFI Working Paper Series in Economics and Finance 345, Stockholm School of Economics.
- Sangjoon Kim & Neil Shephard & Siddhartha Chib, 1998. "Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models," Review of Economic Studies, Oxford University Press, vol. 65(3), pages 361-393.
- Nelson, Daniel B & Cao, Charles Q, 1992. "Inequality Constraints in the Univariate GARCH Model," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(2), pages 229-35, April.
- Tim Bollerslev, 1986.
"Generalized autoregressive conditional heteroskedasticity,"
EERI Research Paper Series
EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
- Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
- Jung-Hee Lee & B. Wade Brorsen, 1997. "A non-nested test of GARCH vs. EGARCH models," Applied Economics Letters, Taylor & Francis Journals, vol. 4(12), pages 765-768.
- He, Changli & Teräsvirta, Timo, 1997.
"Properties of Moments of a Family of GARCH Processes,"
SSE/EFI Working Paper Series in Economics and Finance
198, Stockholm School of Economics.
- He, Changli & Terasvirta, Timo, 1999. "Properties of moments of a family of GARCH processes," Journal of Econometrics, Elsevier, vol. 92(1), pages 173-192, September.
- Lundbergh, Stefan & Teräsvirta, Timo, 1998.
"Evaluating GARCH models,"
SSE/EFI Working Paper Series in Economics and Finance
292, Stockholm School of Economics, revised 03 May 1999.
- Markku Lanne & Pentti Saikkonen, 2005.
"Non-linear GARCH models for highly persistent volatility,"
Royal Economic Society, vol. 8(2), pages 251-276, 07.
- Lanne, Markku & Saikkonen, Pentti, 2002. "Nonlinear GARCH models for highly persistent volatility," SFB 373 Discussion Papers 2002,20, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Chen, Yi-Ting & Kuan, Chung-Ming, 2002.
"The pseudo-true score encompassing test for non-nested hypotheses,"
Journal of Econometrics,
Elsevier, vol. 106(2), pages 271-295, February.
- Yi-Ting Chen & Chung-Ming Kuan, 2000. "The Pseudo-True Score Encompassing Test for Non-Nested Hypothesis," Econometric Society World Congress 2000 Contributed Papers 1723, Econometric Society.
- González-Rivera Gloria, 1998. "Smooth-Transition GARCH Models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 3(2), pages 1-20, July.
- Robert F. Engle & Victor K. Ng, 1991.
"Measuring and Testing the Impact of News on Volatility,"
NBER Working Papers
3681, National Bureau of Economic Research, Inc.
- Engle, Robert F & Ng, Victor K, 1993. " Measuring and Testing the Impact of News on Volatility," Journal of Finance, American Finance Association, vol. 48(5), pages 1749-78, December.
- Lawrence R. Glosten & Ravi Jagannathan & David E. Runkle, 1993.
"On the relation between the expected value and the volatility of the nominal excess return on stocks,"
157, Federal Reserve Bank of Minneapolis.
- Glosten, Lawrence R & Jagannathan, Ravi & Runkle, David E, 1993. " On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks," Journal of Finance, American Finance Association, vol. 48(5), pages 1779-1801, December.
- Lin, Chien-Fu Jeff & Terasvirta, Timo, 1994. "Testing the constancy of regression parameters against continuous structural change," Journal of Econometrics, Elsevier, vol. 62(2), pages 211-228, June.
- Mizon, Grayham E & Richard, Jean-Francois, 1986. "The Encompassing Principle and Its Application to Testing Non-nested Hypotheses," Econometrica, Econometric Society, vol. 54(3), pages 657-78, May.
- Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-70, March.
- Lamoureux, Christopher G & Lastrapes, William D, 1990. "Persistence in Variance, Structural Change, and the GARCH Model," Journal of Business & Economic Statistics, American Statistical Association, vol. 8(2), pages 225-34, April.
When requesting a correction, please mention this item's handle: RePEc:hhs:hastef:0564. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Helena Lundin)
If references are entirely missing, you can add them using this form.