testing parameter constancy. Furthermore, various existing ways of testing the EGARCH model against GARCH one are investigated …

This paper is concerned with efficient GMM estimation and inference in GARCH models. Sufficient conditions for the … estimator to be consistent and asymptotically normal are established for the GARCH(1,1) conditional variance process. In … addition efficiency results are obtained in the general framework of the GARCH(1,1)-M regression model. …

mentioned, and various extensions of the standard GARCH model are highlighted. This includes the Exponential GARCH model …

We consider a family of GARCH(1,1) processes introduced in He and Teräsvirta (1999a). This family contains various … popular GARCH models as special cases. A necessary and sufficient condition for the existence of a strictly stationary …

mentioned, and various extensions of the standard GARCH model are highlighted. This includes the Exponential GARCH model …

In this paper I present two new Lagrange multiplier test statistics designed for testing the null of GARCH (1 …,1), against the alternative of asymmetric GARCH. For one test the alternative is the generalized QARCH (1,1) model of Sentana … [1995], and for the other the alternative is the logistic smooth transition GARCH (1,1) model of Hagerud [1996], and …

. Its performance is compared with that of standard models of conditional heteroskedasticity such as GARCH. This has …

We consider a family of GARCH(1,1) processes introduced in He and Teräsvirta (1999a). This family contains various … popular GARCH models as special cases. A necessary and sufficient condition for the existence of a strictly stationary …

This paper is concerned with efficient GMM estimation and inference in GARCH models. Sufficient conditions for the … estimator to be consistent and asymptotically normal are established for the GARCH(1,1) conditional variance process. In … addition efficiency results are obtained in the general framework of the GARCH(1,1)-M regression model. …

Conditional Heteroskedasticity (GARCH), the Exponential GARCH and the Autoregressive Stochastic Volatility model. The focus is on …