In this paper we introduce the STAR-STGARCH model that can characterize nonlinear behaviour both in the conditional mean and the conditional variance. A modelling cycle for this family of models, consisting of specification, estimation, and evaluation stages is constructed. Misspecification...

This paper suggests a unified framework for testing the adequacy of an estimated GARCH model. Nothing more complicated than standard asymptotic theory is required. Parametric tests of no ARCH in standardized errors, symmetry, and parameter constancy are suggested. Estimating the alternative when...