Portmanteau goodness-of-fit test for asymmetric power GARCH models
The 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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- Tim Bollerslev, 1986.
"Generalized autoregressive conditional heteroskedasticity,"
EERI Research Paper Series
EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
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