Testing for Volatility Interactions in the Constant Conditional Correlation GARCH Model

@inproceedings{Nakatani2009TestingFV,
  title={Testing for Volatility Interactions in the Constant Conditional Correlation GARCH Model},
  author={Tomoaki Nakatani and Timo Ter{\"a}svirta},
  year={2009}
}
In this paper, we propose a Lagrange multiplier test for volatility interactions among markets or assets. The null hypothesis is the Constant Conditional Correlation generalized autoregressive conditional heteroskedasticity (GARCH) model in which volatility of an asset is described only through lagged squared innovations and volatility of its own. The alternative hypothesis is an extension of that model in which volatility is modelled as a linear combination not only of its own lagged squared… CONTINUE READING
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