On regression-based tests for persistence in logarithmic volatility models

Zacharias Psaradakis and Elias Tzavalis

Econometric Reviews, 1999, vol. 18, issue 4, 441-448

Abstract: Building on the work of Pantula (1986), this paper discusses how the hypothesis of conditional variance nonstationarity in the logarithmic family of generalized autoregressive conditional heteroskedasticity (GARCH) and stochastic volatility processes may be tested using regression-based tests. The latter are easy to implement, have well-defined large-sample distributions, and are less sensitive to structural changes than tests based on the quasimaximum likelihood estimator.

Keywords: conditional heteroskedasticity; nonlinear Garch; persistence; stochastic volatility; regime changes; unit root (search for similar items in EconPapers)
Date: 1999
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DOI: 10.1080/07474939908800354

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