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Annastiina, Silvennoinen ; Anthony D, Hall ; Timo, Terasvirta ; Annastiina, Silvennoinen ; Anthony, Hall ; Timo, Teräsvirta. (2021) Four Australian Banks and the Multivariate Time-Varying Smooth Transition Correlation GARCH model.
In: CREATES Research Papers. RePEc:aah:create:2021-13.
Full description at Econpapers
cites:
A Test statistics A.1 Test statistic for TVV-model specification In order to specify gt we not only test constancy but even specify the number of transitions before estimating the GARCH component of the model. Amado and TeraÌsvirta (2013) showed that maximum likelihood estimators of the corresponding time-varying variance (TVV) model, assuming that there is no conditional heteroskedasticity, are consistent and asymptotically normal. This forms the base for constructing Lagrange multiplier type tests for testing r against r + 1 transitions. For notational simplicity consider testing one transition against two. Omitting the subscript i for simplicity, the TVV model is (9) with ht = 1, and gt = δ0 + δ1G1(t/T, γ1, c1) + δ2G2(t/T, γ2, c2), γi > 0, i = 1, 2.
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