The paper is concerned with the estimation of the long memory parameter in a conditionally heteroskedastic model proposed by Giraitis, Robinson and Surgailis (1999). We consider methods based on the partial sums of the squared observations which are similar in spirit to the classical R/S...

The paper is concerned with the estimation of the long memory parameter in a conditionally heteroskedastic model proposed by Giraitis, Robinson and Surgailis (1999). We consider methods based on the partial sums of the squared observations which are similar in spirit to the classical R/S...

We propose and study by means of simulations and graphical tools a class of goodness-of-fit tests for ARCH models. The tests are based on the empirical distribution function of squared residuals and smooth (parametric) bootstrap. We examine empirical size and power by means of a simulation...