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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Year of publication:	2010
Authors:	Carbon, Michel ; Francq, Christian
Institutions:	Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
Subject:	ARCH models \| Leverage effect \| Portmanteau test \| Goodness-of-fit test \| Diagnostic checking

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Extent:	application/pdf
Series:	MPRA Paper.
Type of publication:	Book / Working Paper
Classification:	C12 - Hypothesis Testing ; C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008777366