Title of article :
A robust LR test for the GARCH model
Author/Authors :
Thomas Busch، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2005
Abstract :
In this paper a robust likelihood ratio test is proposed for drawing inference on the conditional variance parameters in the GARCH model. The test is simple to compute, and its finite sample properties with respect to size and power are comparable to those of robust Wald and Lagrange multiplier statistics.
Keywords :
GARCH , Robust LR statistic , hypothesis testing
Journal title :
Economics Letters
Journal title :
Economics Letters