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

ECONOMICS LETTERS（1997）

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摘要

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.

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关键词

GARCH models,robust statistics,hypothesis testing

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