I was wondering if any of you know or have a RATS procedure, program or routine
to carry out structural stability tests (or constancy tests) on GARCH
models (for example, as that one proposed by Lundberg and Terasvirta, 2002)?
Search found 1 match
- Mon Jun 08, 2009 9:50 am
- Forum: ARCH and GARCH Models
- Topic: ¿Stability tests (or constancy tests) on GARCH?
- Replies: 1
- Views: 5942