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

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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. (C) 1997 Elsevier Science S.A.
Publisher
ELSEVIER SCIENCE SA LAUSANNE
Issue Date
1997
Language
English
Article Type
Article
Keywords

CONDITIONAL HETEROSKEDASTICITY

Citation

ECONOMICS LETTERS, v.55, no.2, pp.161 - 164

ISSN
0165-1765
DOI
10.1016/S0165-1765(97)00072-4
URI
http://hdl.handle.net/10203/73786
Appears in Collection
MT-Journal Papers(저널논문)
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