We investigate several aspects of GARCH models which are relevant for empirical applications. In particular, we note that the inclusion of a dummy variable as regressor can lead to multimodality in the GARCH likelihood. This makes standard inference on the estimated coefficient impossible. Next,...

No abstract.

This paper considers tests for a unit root when the innovations follow a near-integrated GARCH process. We compare the asymptotic properties of the likelihood ratio statistic with that of the least-squares based Dickey-Fuller statistic. We first use asymptotics where the GARCH variance process...