Estimation and Testing in Models Containing Both Jump and Conditional Heteroscedasticity

Feike C. Drost (), Theo Nijman and Bas Werker

Journal of Business & Economic Statistics, 1998, vol. 16, issue 2, 237-43

Abstract: In this paper, the authors develop a test for the hypothesis that a series (observed in discrete time) is generated by a diffusion process. This test is based on an overidentifying relation between variance and kurtosis parameters that holds for GARCH diffusions. The proposed test is not specific to a particular data frequency and clearly indicates the presence of jumps in dollar exchange rates. To assess the size and intensity of the jumps, the authors estimate a model containing both jumps and conditional heteroskedasticity.

Date: 1998
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Persistent link: https://EconPapers.repec.org/RePEc:bes:jnlbes:v:16:y:1998:i:2:p:237-43

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