Generalized autoregressive conditional heteroscedasticity (GARCH)-type models have been successively used to capture the conditional volatility of macroeconomic and financial time series in the past two decades. However, few diagnostic tests are specifically devised to check the adequacy of...

The Heteroskedastic Mixture Model (HMM) of Lamoureux, and Lastrapes (1990) is extended, relaxing the restriction imposed on the mean i.e. μ_t-1=0 . Instead, an exogenous variable r_m, along with its vector β_m, that predicts return r_t is introduced to examine the hypothesis that the volume is a...

The objective of this study is to identify the short- and long-run determinants of inflation in Sri Lanka. It follows an eclectic approach to seeking possible determinants of inflation and employs an Autoregressive Distributed Lag (ARDL) bounds testing approach to test for co integration between...