Malmsten, Hans (contributor) - 2004 - [Elektronische Ressource], Rev. September 3, 2004
& Teräsvirta (2002) presented a unified framework for testing the
adequacy of an estimated GARCH model. Their framework covers … of the test for parameter con-
stancy against smooth continuous change in parameters for the GARCH model
in Lundbergh … not been done here.
5 Testing EGARCH against GARCH
As the GARCH model of Bollerslev (1986) and Taylor (1986) is a very …