Caporale, Guglielmo Maria; Ntantamis, Christos; … - Department of Economics and Finance Research and … - 2004
estimated GARCH(1,1) model as a test for the adequacy of this specification. We review the conditions derived by De Lima (1996 …, using the GARCH(1,1) model. By means of Monte Carlo simulations, we show that, provided that the unconditional mean exists …