A Comparison of the Runs Test for Volatility Forecastability and the LM Test for GARCH Using Aggregated Returns
通过蒙特卡洛模拟比较了Christoffersen和Diebold提出的游程检验与常规GARCH的LM检验在聚合收益中的表现，发现LM检验在中等期限上功效更优，而游程检验在长期限和定性阈值GARCH模型中功效更优。
Christoffersen and Diebold (2000) have introduced a runs test for forecastable volatility in aggregated returns. In this note, we compare the size and power of their runs test and the more conventional LM test for GARCH by Monte Carlo simulation. When the true daily process is GARCH, EGARCH, or stochastic volatility, the LM test has better power than the runs test for the moderate-horizon returns considered by Christoffersen and Diebold. For long-horizon returns, however, the tests have very similar power. We also consider a qualitative threshold GARCH model. For this process, we find that the runs test has greater power than the LM test. Theresults support the use of the runs test with aggregated returns.