Caporale, Guglielmo Maria; Ntantamis, Christos; … - Department of Economics and Finance Research and … - 2004
In this study, we examine the Brock, Dechert and Scheinkman (BDS) test when applied to the standardised residuals of an estimated GARCH(1,1) model as a test for the adequacy of this specification. We review the conditions derived by De Lima (1996, Econometric Reviews, 15, 237-259) for the...
