Will Kenton is an expert on the economy and investing laws and regulations. He previously held senior editorial roles at Investopedia and Kapitall Wire and holds a MA in Economics from The New School ...

In the context of global economic integration and heightened volatility in financial markets due to factors such as the COVID-19 pandemic, the Russia-Ukraine conflict, and the monetary policies of the ...

Journal of Applied Econometrics, Vol. 14, No. 5 (Sep. - Oct., 1999), pp. 539-562 (24 pages) In this paper we investigate the properties of the Lagrange Multiplier [LM] test for autoregressive ...

The Lagrange Multiplier (LM) test is one of the principal tools to detect ARCH and GARCH effects in financial data analysis. However, when the underlying data are non-normal, which is often the case ...

ABSTRACT: The study applies a Kalman filter (KF) to Generalized Autoregressive Conditional Heteroskedasticity (GARCH) models to create a hybrid model, to estimate the parameters of the GARCH model in ...