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A Lagrange multiplier test for GARCH models

1991; Elsevier BV; Volume: 37; Issue: 3 Linguagem: Inglês

10.1016/0165-1765(91)90221-6

ISSN

1873-7374

Autores

John H. H. Lee,

Tópico(s)

Statistical Methods and Inference

Resumo

This paper extends the Lagrange multiplier (LM) test to testing 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

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