Robust tests for ARCH and GARCH components

A. Fasso
Two robust one-sided tests are proposed for detecting ARCH and GARCH components. The first one is distribution free being a rank test based on the van der Waerden scores. The related test statistic has mean and variance known in closed form; moreover, it is shown to be asymptotically normal and its finite sample critical values have been estimated via the Monte Carlo method. The second test is the one sided modification of the Gregory test...