Suppose that we are interested in testing the null hypothesis that a GARCH(2,2) model can be restricted to a process with a constant conditional variance using the likelihood ratio test approach. Which of the following statements are true?
(A)The test statistic will follow a chi-squared distribution with 2 degrees of freedom under the null hypothesis (B)The value of the log-likelihood function will almost always be bigger for the restricted model than for the unrestricted model (C)If the relevant values of the log-likelihood functions are -112.3 and -118.4, the value of the test statistic is 12.2 (D)The likelihood ratio test compares the slopes of the log-likelihood function at the maximum and at the restricted parameter value.
C