A Lagrange Multiplier Test for Garch Models

John H. H. Lee

No 267154, Department of Econometrics and Business Statistics Working Papers from Monash University, Department of Econometrics and Business Statistics

Abstract: This paper extends the Lagrange multiplier (LM) test to testing white noise disturbances against GARCH disturbances in the linear regression model. The resulting LM test for the GARCH alternative is identical to the LM test for an ARCH alternative.

Keywords: Research; and; Development/Tech; Change/Emerging; Technologies (search for similar items in EconPapers)
Pages: 16
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Persistent link: https://EconPapers.repec.org/RePEc:ags:monebs:267154

DOI: 10.22004/ag.econ.267154

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