Carbon, Michel and Francq, Christian (2010): Portmanteau goodness-of-fit test for asymmetric power GARCH models.
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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.
|Item Type:||MPRA Paper|
|Original Title:||Portmanteau goodness-of-fit test for asymmetric power GARCH models|
|Keywords:||ARCH models; Leverage effect; Portmanteau test; Goodness-of-fit test; Diagnostic checking|
|Subjects:||C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C12 - Hypothesis Testing: General
C - Mathematical and Quantitative Methods > C2 - Single Equation Models; Single Variables > C22 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
|Depositing User:||Christian Francq|
|Date Deposited:||26. Dec 2010 19:52|
|Last Modified:||21. Feb 2013 04:00|
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