On regression-based tests for persistence in logarithmic volatility models

Building on the work of Pantula (1986), this paper discusses how the hypothesis of conditional variance nonstationarity in the logarithmic family of generalized autoregressive conditional heteroskedasticity (GARCH) and stochastic volatility processes may be tested using regression-based tests. The latter are easy to implement, have well-defined large-sample distributions, and are less sensitive to structural changes than tests based on the quasimaximum likelihood estimator.

MoreLess

Year of publication:	1999
Authors:	Psaradakis, Zacharias ; Tzavalis, Elias
Published in:	Econometric Reviews. - Taylor & Francis Journals, ISSN 0747-4938. - Vol. 18.1999, 4, p. 441-448
Publisher:	Taylor & Francis Journals
Subject:	conditional heteroskedasticity \| nonlinear Garch \| persistence \| stochastic volatility \| regime changes \| unit root

More details

Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005292342