tvgarchTest {tvgarch} | R Documentation |
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).
tvgarchTest(y, xtv = NULL, alpha = 0.05)
y |
numeric |
xtv |
|
alpha |
the significance level. |
An object of class 'tvgarchTest'.
Susana Campos-Martins
Cristina Amado and Timo Terasvirta (2017) Specification and testing of multiplicative time varying GARCH models with applications, Econometric Reviews 36:4, 421-446.
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)