Comparing two EGAR(1,1)-Models

[Janina]

hi guys,

if I want to compare two Egar(1,1)-Models regarding the variance, the only difference between the models beeing an additive exogenous variable, what possibilities do I have? I already used information criteria :D and the model with the additional variable is better. But for the autocorrelation of the squared standardized residuals there is no real difference. Are there other ways comparing the models?

greetz,
Janina