978
Views
10
CrossRef citations to date
0
Altmetric
Original Articles

Testing for an Omitted Multiplicative Long-Term Component in GARCH Models

&
Pages 229-242 | Received 01 May 2017, Published online: 07 Sep 2018

References

  • Amado, C., Silvennoinen, A., and Teräsvirta, T. (2018), “Models With Multiplicative Decomposition of Conditional Variances and Correlations,” CREATES Research Paper 2018-14, Department of Economics and Business Economics, Aarhus University.
  • Amado, C., and Teräsvirta, T. (2013), “Modelling Volatility by Variance Decomposition,” Journal of Econometrics, 175, 153–165.
  • ——— (2017), “Specification and Testing of Multiplicative Time-Varying GARCH Models With Applications,” Econometric Reviews, 36, 421–446.
  • Andreou, E. (2016), “On the Use of High Frequency Measures of Volatility in MIDAS Regressions,” Journal of Econometrics, 193, 367–389.
  • Andreou, E., Ghysels, E., and Kourtellos, A. (2010), “Regression Models With Mixed Sampling Frequencies,” Journal of Econometrics, 158, 246–261.
  • Aruoba, S., Diebold, F., and Scotti, C. (2009), “Real-Time Measurement of Business Conditions,” Journal of Business & Economic Statistics, 27, 417–427.
  • Asgharian, H., Hou, A. J., and Javed, F. (2013), “The Importance of the Macroeconomic Variables in Forecasting Stock Return Variance: A GARCH-MIDAS Approach,” Journal of Forecasting, 32, 600–612.
  • Baillie, R. T., Bollerslev, T., and Mikkelsen, H. O. (1996), “Fractionally Integrated Generalized Autoregressive Conditional Heteroskedasticity,” Journal of Econometrics, 74, 3–30.
  • Baker, S. R., Bloom, N., and Davis, S. J. (2016), “Measuring Economic Policy Uncertainty,” The Quarterly Journal of Economics, 131, 1593–1636.
  • Bollerslev, T. (1986), “Generalized Autoregressive Conditional Heteroskedasticity,” Journal of Econometrics, 31, 307–327.
  • Christiansen, C., Schmeling, M., and Schrimpf, A. (2012), “A Comprehensive Look at Financial Volatility Prediction by Economic Variables,” Journal of Applied Econometrics, 27, 956–977.
  • Conrad, C., and Loch, K. (2015a), “Anticipating Long-Term Stock Market Volatility,” Journal of Applied Econometrics, 30, 1090–1114.
  • ——— (2015b), “The Variance Risk Premium and Fundamental Uncertainty,” Economics Letters, 132, 56–60.
  • Demos, A., and Sentana, E. (1998), “Testing for GARCH Effects: A One-Sided Approach,” Journal of Econometrics, 86, 97–127.
  • Dorion, C. (2016), “Option Valuation With Macro-Finance Variables,” Journal of Financial and Quantitative Analysis, 51, 1359–1389.
  • Engle, R. F. (1982), “Autoregressive Conditional Heteroscedasticity With Estimates of the Variance of United Kingdom Inflation,” Econometrica, 50, 987–1007.
  • Engle, R. F., Ghysels, E., and Sohn, B. (2013), “Stock Market Volatility and Macroeconomic Fundamentals,” Review of Economics and Statistics, 95, 776–797.
  • Engle, R. F., and Ng, V. K. (1993), “Measuring and Testing the Impact of News on Volatility,” The Journal of Finance, 48, 1749–1778.
  • Engle, R. F., and Rangel, J. G. (2008), “The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes,” Review of Financial Studies, 21, 1187–1222.
  • Escanciano, J. C. (2009), “Quasi-Maximum Likelihood Estimation of Semi-Strong GARCH Models,” Econometric Theory, 25, 561–570.
  • Feng, Y. (2004), “Simultaneously Modeling Conditional Heteroskedasticity and Scale Change,” Econometric Theory, 20, 563–596.
  • Francq, C., and Thieu, L. Q. (forthcoming), “QML Inference for Volatility Models With Covariates,” Econometric Theory.
  • Francq, C., and Zakoïan, J.-M. (2004), “Maximum Likelihood Estimation of Pure GARCH and ARMA-GARCH Processes,” Bernoulli, 10, 605–637.
  • ——— (2007), “Quasi-Maximum Likelihood in GARCH Processes When Some Coefficients are Equal to Zero,” Stochastic Processes and their Applications, 117, 1265–1284.
  • ——— (2009), “Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons,” Journal of the American Statistical Association, 104, 313–324.
  • Ghysels, E., Sinko, A., and Valkanov, R. (2007), “MIDAS Regressions: Further Results and New Directions,” Econometric Reviews, 26, 53–90.
  • Godfrey, L. G. (1978), “Testing for Multiplicative Heteroskedasticity,” Journal of Econometrics, 8, 227–236.
  • Halunga, A. G., and Orme, C. D. (2009), “First-Order Asymptotic Theory for Parametric Misspecification Tests of GARCH Models,” Econometric Theory, 25, 364–410.
  • Hamadeh, T., and Zakoïan, J.-M. (2011), “Asymptotic Properties of LS and QML Estimators for a Class of Nonlinear GARCH Processes,” Journal of Statistical Planning and Inference, 141, 488–507.
  • Han, H., and Kristensen, D. (2014), “Asymptotic Theory for the QMLE in GARCH-X Models With Stationary and Non-Stationary Covariates,” Journal of Business & Economic Statistics, 32, 416–429.
  • Hillebrand, E. (2005), “Neglecting Parameter Changes in GARCH Models,” Journal of Econometrics, 129, 121–138.
  • Lee, S., and Halunga, A. G. (2015), “Misspecification Tests for Realised GARCH Models,” Working Paper, University of Exeter.
  • Li, M., Li, G., and Li, W. (2011), “Score Tests for Hyperbolic GARCH Models,” Journal of Business & Economic Statistics, 29, 579–586.
  • Lundbergh, S., and Teräsvirta, T. (2002), “Evaluating GARCH Models,” Journal of Econometrics, 110, 417–435.
  • Opschoor, A., van Dijk, D., and van der Wel, M. (2014), “Predicting Volatility and Correlations With Financial Conditions Indexes,” Journal of Empirical Finance, 29, 435–447.
  • Paye, B. S. (2012), “‘Déja Vol’: Predictive Regressions for Aggregate Stock Market Volatility using Macroeconomic Variables,” Journal of Financial Economics, 106, 527–546.
  • Silvennoinen, A., and Teräsvirta, T. (2016), “Testing Constancy of Unconditional Variance in Volatility Models by Misspecification and Specification Tests,” Studies in Nonlinear Dynamics & Econometrics, 20, 347–364.
  • Wang, F., and Ghysels, E. (2015), “Econometric Analysis of Volatility Component Models,” Econometric Theory, 31, 362–393.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.