Abstract
This article proposes a score test statistic for whether there is a stochastic trend in conditional variances of a GARCH process. We derive its null limiting distribution and demonstrate its properties through simulation and empirical studies.
Original language | English |
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Article number | 110394 |
Number of pages | 6 |
Journal | Economics Letters |
Volume | 213 |
Early online date | 23 Feb 2022 |
DOIs | |
Publication status | Published - Apr 2022 |
Keywords
- GARCH
- Unit root
- Score statistic