Portmanteau goodness-of-fit test for asymmetric power GARCH models
AbstractThe asymptotic distribution of a vector of autocorrelations of squared residuals is derived for a wide class of asymmetric GARCH models. Portmanteau adequacy tests are deduced. %gathered These results are obtained under moment assumptions on the iid process, but fat tails are allowed for the observed process, which is particularly relevant for series of financial returns. A Monte Carlo experiment and an illustration to financial series are also presented.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 27686.
Date of creation: 2010
Date of revision:
ARCH models; Leverage effect; Portmanteau test; Goodness-of-fit test; Diagnostic checking;
Find related papers by JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-01-03 (All new papers)
- NEP-ECM-2011-01-03 (Econometrics)
- NEP-ETS-2011-01-03 (Econometric Time Series)
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