Testing for a unit root in the volatility of asset returns
提出一种对负移动平均根稳健的新单位根检验方法，用于检验资产收益波动率的非平稳性，并应用于汇率和股票收益数据，结果强烈拒绝波动率非平稳的假设。
It is now well established that the volatility of asset returns is time varying and highly persistent. One leading model that is used to represent these features of the data is the stochastic volatility model. The researcher may test for non-stationarity of the volatility process by testing for a unit root in the log-squared time series. This strategy for inference has many advantages, but is not followed in practice because these unit root tests are known to have very poor size properties. In this paper I show that new tests that are robust to negative MA roots allow a reliable test for a unit root in the volatility process to be conducted. In applying these tests to exchange rate and stock returns, strong rejections of non-stationarity in volatility are obtained. Copyright © 1999 John Wiley & Sons, Ltd.