IDEAS home Printed from https://ideas.repec.org/a/bpj/sndecm/v22y2018i5p17n3.html

Testing for misspecification in the short-run component of GARCH-type models

Author

Listed:
  • Chuffart Thomas

    (Université Bourgogne Franche-Comté, CRESE EA3190, 30 Avenue de l'Observatoire, Besançon, France)

  • Flachaire Emmanuel

    (Aix-Marseille University, CNRS, EHESS, Centrale Marseille, Aix-Marseille School of Economics, 5-9 Boulevard Bourdet, CS 50498Marseille, France)

  • Péguin-Feissolle Anne

    (Aix-Marseille University, CNRS, EHESS, Centrale Marseille, Aix-Marseille School of Economics, 5-9 Boulevard Bourdet, CS 50498Marseille, France)

Abstract

In this article, a misspecification test in conditional volatility and GARCH-type models is presented. We propose a Lagrange Multiplier type test based on a Taylor expansion to distinguish between (G)ARCH models and unknown GARCH-type models. This new test can be seen as a general misspecification test of a large set of GARCH-type univariate models. It focuses on the short-term component of the volatility. We investigate the size and the power of this test through Monte Carlo experiments and we compare it to two other standard Lagrange Multiplier tests, which are more restrictive. We show the usefulness of our test with an illustrative empirical example based on daily exchange rate returns.

Suggested Citation

  • Chuffart Thomas & Flachaire Emmanuel & Péguin-Feissolle Anne, 2018. "Testing for misspecification in the short-run component of GARCH-type models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 22(5), pages 1-17, December.
    • Handle: RePEc:bpj:sndecm:v:22:y:2018:i:5:p:17:n:3
    DOI: 10.1515/snde-2017-0069
    as

    Download full text from publisher

    File URL: https://doi.org/10.1515/snde-2017-0069
    Download Restriction: For access to full text, subscription to the journal or payment for the individual article is required.
    File URL: https://libkey.io/10.1515/snde-2017-0069?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to look for a different version below or

    for a different version of it.

    Other versions of this item:

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Elsas, Ralf & Schoch, Daniela Stephanie, 2023. "Robust inference in single firm/single event analyses," Journal of Corporate Finance, Elsevier, vol. 80(C).

    More about this item

    Keywords

    ;
    ;
    ;
    ;
    ;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bpj:sndecm:v:22:y:2018:i:5:p:17:n:3. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Peter Golla (email available below). General contact details of provider: https://www.degruyterbrill.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.