IDEAS home Printed from https://ideas.repec.org/p/hhs/hastef/0163.html
   My bibliography  Save this paper

Specification Tests for Asymmetric GARCH

Author

Listed:
  • Hagerud, Gustaf E.

    (Department of Finance)

Abstract

In this paper I present two new Lagrange multiplier test statistics designed for testing the null of GARCH (1,1), against the alternative of asymmetric GARCH. For one test the alternative is the generalized QARCH (1,1) model of Sentana [1995], and for the other the alternative is the logistic smooth transition GARCH (1,1) model of Hagerud [1996], and González-Rivera [1996]. In the study I present small sample properties for the two statistics. The empirical size is shown to be equal to the theoretical for reasonable sample sizes. Furthermore, I show that the power of both tests is superior to that of the asymmetry tests proposed by Engle and Ng [1993]. This is true even if the true data generating process is not the GQARCH or LSTGARCH model, but any of the models, EGARCH, GJR, TGARCH, A-PARCH, and VS-ARCH. Thus, the two tests are in fact tests for general GARCH asymmetry,.

Suggested Citation

  • Hagerud, Gustaf E., 1997. "Specification Tests for Asymmetric GARCH," SSE/EFI Working Paper Series in Economics and Finance 163, Stockholm School of Economics.
  • Handle: RePEc:hhs:hastef:0163
    as

    Download full text from publisher

    File URL: http://swopec.hhs.se/hastef/papers/hastef0163.dvi
    Download Restriction: no

    File URL: http://swopec.hhs.se/hastef/papers/hastef0163.ps
    Download Restriction: no

    File URL: http://swopec.hhs.se/hastef/papers/hastef0163.ps.zip
    Download Restriction: no

    File URL: http://swopec.hhs.se/hastef/papers/hastef0163.pdf
    Download Restriction: no

    File URL: http://swopec.hhs.se/hastef/papers/hastef0163.pdf.zip
    Download Restriction: no

    Citations

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


    Cited by:

    1. Changli He & Annastiina Silvennoinen & Timo Teräsvirta, 2008. "Parameterizing Unconditional Skewness in Models for Financial Time Series," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 6(2), pages 208-230, Spring.
    2. Bal??zs ??gert & Yosra Koubaa, 2004. "Modelling Stock Returns in the G-7 and in Selected CEE Economies: A Non-linear GARCH Approach," William Davidson Institute Working Papers Series 2004-663, William Davidson Institute at the University of Michigan.
    3. Luis Alberiko & OlaOluwa S. Yaya & Olarenwaju I. Shittu, 2015. "Fractional integration and asymmetric volatility in european, asian and american bull and bear markets. Applications to high frequency stock data," NCID Working Papers 07/2015, Navarra Center for International Development, University of Navarra.
    4. Menelaos Karanasos & J. Kim, "undated". "Alternative GARCH in Mean Models: An Application to the Korean Stock Market," Discussion Papers 00/25, Department of Economics, University of York.

    More about this item

    Keywords

    GARCH; asymmetry; specification tests; Monte Carlo experiment;

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

    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:hhs:hastef:0163. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Helena Lundin). General contact details of provider: http://edirc.repec.org/data/erhhsse.html .

    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 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.

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

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.