Chen, Jinghui; Kobayashi, Masahito; McAleer, Michael - 2016 - Revised: February 2016
The paper considers the problem as to whether financial returns have a common volatility process in the framework of stochastic volatility models that were suggested by Harvey et al. (1994). We propose a stochastic volatility version of the ARCH test proposed by Engle and Susmel (1993), who...