指数自回归条件异方差模型的检验

Testing on EGARCH Models

本文在达尼艾尔松(1994)定义的随机波动模型(SV)的基础上,借用迪拉克.德鲁塔函数的思想,提出检验指数自回归条件异方差(EGARCH)模型的拉格朗日乘数检验统计量。该检验统计量的提出预示着一定条件下EGARCH模型为SV模型的一种特例。最后通过蒙特卡罗计算机仿真实验验证该检验统计量的检验能力。

A Lagrange Multiplier Test Statistic is derived to test on EGARCH models based on SV models defined by Nanielssion （1994）, by means of Dirac＇s Delta function. A small Monte Carlo experiment is reported in order to check the actual size and power of the LM test statistic proposed in this paper.