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Comparison of specification tests for GARCH models

✍ Scribed by Ghoudi, Kilani; Rémillard, Bruno


Book ID
122752810
Publisher
Elsevier Science
Year
2014
Tongue
English
Weight
381 KB
Volume
76
Category
Article
ISSN
0167-9473

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## Abstract A number of studies investigate whether various stochastic variables explain changes in return volatility by specifying the variables as covariates in a GARCH(1, 1) or EGARCH(1, 1) model. The authors show that these models impose an implicit constraint that can obscure the true role of