In this study we examine the widely used Brock, Dechert and Scheinkman (BDS) test when applied to the logarithm of the standardized residuals of an estimated GARCH(1,1) model as a test for the adequacy of this speci?cation. We review the conditions derived by De Lima (1996, Econometric Reviews,...

In this study we examine the widely used Brock, Dechert and Scheinkman (BDS) test when appliedto the logarithm of the standardized residuals of an estimated GARCH(1,1) model as a test for theadequacy of this speci?cation. We review the conditions derived by De Lima (1996, Econometric Reviews,15,...