Ulu, Yasemin - In: Econometric Reviews 26 (2007) 5, pp. 557-566
Christoffersen and Diebold (2000) have introduced a runs test for forecastable volatility in aggregated returns. In this note, we compare the size and power of their runs test and the more conventional LM test for GARCH by Monte Carlo simulation. When the true daily process is GARCH, EGARCH, or...