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Estimation and testing in models containing both jumps and conditional heteroscedasticity

par Drost, Feike F.C.;Nijman, Theo;Werker, Bas
Référence Journal of business & economic statistics, 16, 2, page (237-243)
Publication Publié, 1998-04

Article révisé par les pairs

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Résumé :

In this article we develop a test for the hypothesis that a series (observed in discrete time) is generated by a diffusion process. This test is based on an overidentifying relation between variance and kurtosis parameters that holds for generalized autoregressive conditional heteroscedastic diffusions. The proposed test is not specific to a particular data frequency and clearly indicates the presence of jumps in dollar exchange rates. To assess the size and intensity of the jumps, we estimate a model containing both jumps and conditional heteroscedasticity.