An investigation of parametric tests of CCC assumption

An asymptotically valid Conditional Moment (CM) testing procedure of the CCC assumption of the MGARCH model is proposed considering both full QMLE (FQMLE) and partial or two-stage QMLE (PQMLE) framework. A "new" and easily programmable expression for the expected Hessian is provided for FQMLE. The OPG and robust to non-normality versions of the test statistics are derived. The Tse (2000) OPG-type LM test of the CCC assumption is analyzed within our CM framework and a new robust version of this test is proposed. An extensive Monte Carlo investigation demonstrates good size and power properties. The OPG