Franses, Philip Hans; Dijk, Dick van; Lucas, Andre - In: Applied Financial Economics 14 (2004) 4, pp. 221-231
The (Generalized) AutoRegressive Conditional Heteroscedasticity [(G)ARCH] model is tested for daily data on 22 exchange rates and 13 stock market indices using the standard Lagrange Multiplier [LM] test for GARCH and a LM test that is resistant to patches of additive outliers. The data span two...
