• Title of article

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

  • Author/Authors

    Noh، نويسنده , , Jaesun Wang، نويسنده ,

  • Issue Information
    روزنامه با شماره پیاپی سال 1997
  • Pages
    4
  • From page
    161
  • To page
    164
  • Abstract
    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. © 1997 Elsevier Science S.A.
  • Keywords
    GARCH models , Robust statistics: Hypothesis testing
  • Journal title
    Economics Letters
  • Serial Year
    1997
  • Journal title
    Economics Letters
  • Record number

    434314

    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=10&DC=434314