Specification and testing of multiplicative time-varying GARCH models with applications
提出了一种构建乘法时变GARCH模型的设定方法，将方差分解为时变的无条件成分和条件成分，通过LM检验确定转换函数个数，并用模拟和汇率、咖啡期货数据验证了策略的有效性。
In this article, we develop a specification technique for building multiplicative time-varying GARCH models of Amado and Teräsvirta (2008, 2013). The variance is decomposed into an unconditional and a conditional component such that the unconditional variance component is allowed to evolve smoothly over time. This nonstationary component is defined as a linear combination of logistic transition functions with time as the transition variable. The appropriate number of transition functions is determined by a sequence of specification tests. For that purpose, a coherent modelling strategy based on statistical inference is presented. It is heavily dependent on Lagrange multiplier type misspecification tests. The tests are easily implemented as they are entirely based on auxiliary regressions. Finite-sample properties of the strategy and tests are examined by simulation. The modelling strategy is illustrated in practice with two real examples: an empirical application to daily exchange rate returns and another one to daily coffee futures returns.