<italic>Conditional moment tests</italic> check to see whether or not population moment equalities, implied by the null model specification, hold approximately in the sample. Asymptotically valid conditional statistics can easily be calculated from the output of a so-called <italic>outer product of the gradient</italic> (OPG)...

This paper develops a framework for the construction and analysis of parametric misspecification tests for generalized autoregressive conditional heteroskedastic (GARCH) models, based on first-order asymptotic theory. The principal finding is that estimation effects from the correct...