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In this paper we test for Generalized AutoRegressive Conditional Heteroskedasticity GARCH in daily data on 22 exchange rates and 13 stock market indices using the standard Lagrange Multiplier LM test for GARCH and a LM test that is resistant to patches of additive outliers. The data span two samples of 5 years ranging from 1986 to 1995. Using asymptotic arguments and Monte Carlo simulations, in which w e evaluate our empirical method, we show that patches of outliers can have signi cant e ectsdoi:10.1080/0960310042000201174 fatcat:f4s6x4ohinc6jndh2oagrgptdy