Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/56143
Authors: 
Malmsten, Hans
Year of Publication: 
2004
Series/Report no.: 
SSE/EFI Working Paper Series in Economics and Finance 564
Abstract: 
In this paper, a unified framework for testing the adequancy of an estimated EGARCH model is presented. The tests are Lagrange multiplier or Lagrange multiplier type tests and include testing an EGARCH model against a higher-order one and testing parameter constancy. Furthermore, various existing ways of testing the EGARCH model against GARCH one are investigated as another check of model adequacy. This is done by size and power simulations. Small-sample properties of the other tests are also investigated by simulations.
Subjects: 
evalation of volatility models
modelling volatility
parameter constancy
GARCH
JEL: 
C22
C52
Document Type: 
Working Paper

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