Van Dijk, D.; Franses, P.H.; Lucas, A. - Econometrisch Instituut, Faculteit der Economische … - 1996
In this paper we investigate the properties of the Lagrange Multiplier (LM) test for autoregressive conditional heteroskedasticity (ARCH) and generalized ARCH (GARCH) in the presence of additive outliners (AO's). We show analytically that both the asymptotic size and power are adversely...