Kobayashi, Masahito; Shi, Xiuhong - In: Journal of Time Series Analysis 26 (2005) 1, pp. 135-150
It is shown that the EGARCH model is the degenerate case of Danielsson's [Journal of Econometrics (1994) Vol. 61, pp. 375-400] stochastic volatility model where the disturbance of the transition equation of conditional volatility has zero variance. The Lagrange multiplier test statistic is...