Ulu, Yasemin - In: Econometric Reviews 26 (2007) 5, pp. 557-566
Christoffersen and Diebold (2000) have introduced a runs test for forecastable volatility in aggregated returns. In … this note, we compare the size and power of their runs test and the more conventional LM test for GARCH by Monte Carlo … test has greater power than the LM test. Theresults support the use of the runs test with aggregated returns. …