Testing for jumps in the stochastic vola
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Masahito Kobayashi
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Article
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2009
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Elsevier Science
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English
β 255 KB
This paper proposes the Lagrange multiplier (LM) test, or the score test, for jumps in the stochastic volatility (SV) model in the cases where the innovation term follows the normal and Student t-distributions. The tested null hypothesis is that the jump density has zero variance, which is expressed