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A non-nested test of GARCH vs. EGARCH models

✍ Scribed by Lee, Jung-Hee; Brorsen, B. Wade

Book ID
120466786
Publisher
Taylor and Francis Group
Year
1997
Tongue
English
Weight
253 KB
Volume
4
Category
Article
ISSN
1350-4851

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## Abstract In this paper it is shown that a convenient score test against non‐nested alternatives can be constructed from the linear combination of the likelihood functions of the competing models. This is essentially a test for the correct specification of the conditional distribution of the vari