SSE/EFI Working Paper Series in Economics and Finance
Evaluating exponential GARCH models
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.
Keywords: evalation of volatility models; modelling volatility; parameter constancy; GARCH; (follow links to similar papers)
JEL-Codes: C22; C52; (follow links to similar papers)
25 pages, August 27, 2004, Revised September 3, 2004
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