A Locally Most Mean Powerful Based Score Test for ARCH and GARCH Regression Disturbances

John H. H. Lee · Maxwell L. King

77 citations0/0 files storedJournal of Business and Economic Statistics

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Financial Risk and Volatility Modeling Monetary Policy and Economic Impact Advanced Statistical Methods and Models

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John H. H. Lee, Maxwell L. King, A Locally Most Mean Powerful Based Score Test for ARCH and GARCH Regression Disturbances, Journal of Business & Economic Statistics, Vol. 11, No. 1 (Jan., 1993), pp. 17-27

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References

1986Generalized autoregressive conditional heteroskedasticity 1986Modelling the persistence of conditional variances 1989The Message in Daily Exchange Rates: A Conditional-Variance Tale 1972An approximate method for generating symmetric random variables 1985Small-Sample Properties of ARCH Estimators and Tests 1988Quasi-maximum likelihood estimation of dynamic models with time varying covariances 1991A Lagrange multiplier test for GARCH models 1988Stochastic Simulation.

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