کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1141114 956764 2009 12 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Testing for jumps in the EGARCH process
موضوعات مرتبط
مهندسی و علوم پایه سایر رشته های مهندسی کنترل و سیستم های مهندسی
پیش نمایش صفحه اول مقاله
Testing for jumps in the EGARCH process
چکیده انگلیسی

This paper considers testing for jumps in the exponential GARCH (EGARCH) models with Gaussian and Student-t innovations. The Wald and log likelihood ratio tests contain a nuisance parameter unidentified under the null hypothesis of no jumps, and hence are unavailable for this problem, because jump probability and variance of jumps in the test statistic cannot be estimated under the null hypothesis of no jumps. It is shown that the nuisance parameter is cancelled out in the Lagrange multiplier (LM) test statistic, and hence that the test is nuisance parameter-free. The one-sided test is also proposed using the nonnegative constraint on jump variance. The actual size and power of the tests are examined in a Monte Carlo experiment. The test is applied to daily returns of S&P 500 as an illustrative example.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Mathematics and Computers in Simulation - Volume 79, Issue 9, May 2009, Pages 2797–2808
نویسندگان
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