tvgarch (version 2.4.3)

tvgarchTest: Test of a multiplicative time-varying GARCH model

Description

Compute the non-robust and robust Lagrange-Multiplier (LM-)type test statistics for examining the null hypothesis of constant long-term variance, GARCH(1,1), against the alternative of a smoothly changing long-term component, TV-GARCH(1,1).

Usage

tvgarchTest(y, xtv = NULL, alpha = 0.05)

Value

An object of class 'tvgarchTest'.

Arguments

y

numeric vector, time series or zoo object.

xtv

NULL or numeric vector, time series or zoo object to include as the transition variable in the TV component. If NULL, calendar time scaled between 0 and 1 is used as the transition variable.

alpha

the significance level.

Author

Susana Campos-Martins

References

Cristina Amado and Timo Terasvirta (2017) Specification and testing of multiplicative time varying GARCH models with applications, Econometric Reviews 36:4, 421-446.

See Also

tvgarch, garchx, tvgarchSim

Examples

set.seed(12345)

## Simulate from a TV(1)-GARCH(1,1) model (default):
ySim <- tvgarchSim(n = 1500)

## Test of a TV(1)-GARCH(1,1) model:
yTest <- tvgarchTest(y = ySim)
orderG1 <- summary(yTest)

## Estimate a TV(1)-GARCH(1,1) model:
yEst <- tvgarch(y = ySim, order.g = orderG1)