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Goodness-of-fit tests for parametric specifications of conditionally heteroscedastic models

Author

Listed:
  • M. Dolores Jiménez-Gamero

    (University of Sevilla)

  • Sangyeol Lee

    (Seoul National University)

  • Simos G. Meintanis

    (National and Kapodistrian University of Athens
    North-West University)

Abstract

We consider a goodness-of-fit test for certain parametrizations of conditionally heteroscedastic time series with unobserved components. Our test is quite general in that it can be employed to validate any given specification of arbitrary order and may even be invoked for testing not just GARCH models but also some related models such as autoregressive conditional duration models. The test statistic utilizes the characterization of Bierens (J Econom 20:105–134, 1982) and may be written down in a convenient closed-form expression. Consistency of the test is proved, and the asymptotic distribution of the test statistic under the null hypothesis is studied. Since this distribution depends on unknown quantities, two bootstrap resampling schemes are investigated and compared in order to approximate critical points and actually carry out the test. Finite-sample results are presented as well as applications of the proposed procedures to real data from the financial markets.

Suggested Citation

  • M. Dolores Jiménez-Gamero & Sangyeol Lee & Simos G. Meintanis, 2020. "Goodness-of-fit tests for parametric specifications of conditionally heteroscedastic models," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 29(3), pages 682-703, September.
    • Handle: RePEc:spr:testjl:v:29:y:2020:i:3:d:10.1007_s11749-019-00676-0
    DOI: 10.1007/s11749-019-00676-0
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    Cited by:

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    2. Yacouba Boubacar Maïnassara & Othman Kadmiri & Bruno Saussereau, 2022. "Portmanteau test for a class of multivariate asymmetric power GARCH model," Journal of Time Series Analysis, Wiley Blackwell, vol. 43(6), pages 964-1002, November.
    3. Yacouba Boubacar Maïnassara & Othman Kadmiri & Bruno Saussereau, 2022. "Portmanteau test for the asymmetric power GARCH model when the power is unknown," Statistical Papers, Springer, vol. 63(3), pages 755-793, June.

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