Small sample properties of GARCH(1,1) estimator under non-normality

Small sample properties of Lagrange multiplier (LM), likelihood ratio (LR) and Wald test statistics are studied for GARCH(1,1) and IGARCH(1,1) models. Under non-normally distributed errors, it is shown that the robust LM test statistic performs best. © 1997 Elsevier Science S.A.