A model specification test for GARCH(1,1) processes
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Recommendations
- Comparison of specification tests for GARCH models
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- Goodness-of-fit tests for parametric specifications of conditionally heteroscedastic models
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- Score test of fit for composite hypothesis in the GARCH\((1,1)\) model
Cites work
- A CLOSED-FORM ESTIMATOR FOR THE GARCH(1,1) MODEL
- A Test of Goodness of Fit
- A weighted goodness-of-fit test for GARCH(1,1) specification
- Asymptotic distribution-free diagnostic tests for heteroskedastic time series models
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Characteristic function-based hypothesis tests under weak dependence
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- Consistency of general bootstrap methods for degenerate U-type and V-type statistics
- Degenerate U- and V-statistics under ergodicity: asymptotics, bootstrap and applications in statistics
- Dependent wild bootstrap for degenerate U- and V-statistics
- Estimation in conditionally heteroscedatic time series models.
- GARCH processes: structure and estimation
- Generalized autoregressive conditional heteroscedasticity
- Generalized spectral tests for the martingale difference hypothesis
- Goodness-of-Fit Tests for Linear and Nonlinear Time Series Models
- Introduction to strong mixing conditions. Vol. 3.
- Joint and marginal specification tests for conditional mean and variance models
- Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
- Model checks using residual marked empirical processes
- Quadratic ARCH Models
- Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach
- Random quadratic forms and the bootstrap for \(U\)-statistics
- Some asymptotic theory for the bootstrap
Cited in
(21)- Comparison of specification tests for GARCH models
- Goodness-of-fit tests for Log-GARCH and EGARCH models
- Maximum entropy test for GARCH models
- Evaluating GARCH models.
- A weighted goodness-of-fit test for GARCH(1,1) specification
- Specification tests for the error distribution in GARCH models
- Testing the existence of moments for GARCH processes
- Portmanteau test for the asymmetric power GARCH model when the power is unknown
- Goodness-of-fit tests for parametric specifications of conditionally heteroscedastic models
- Estimating critical values for testing the i.i.d. in standardized residuals from GARCH models in finite samples
- Artificial regression testing in the GARCH‐in‐mean model
- Misspecification Testing for the Conditional Distribution Model in GARCH-Type Processes
- FIRST-ORDER ASYMPTOTIC THEORY FOR PARAMETRIC MISSPECIFICATION TESTS OF GARCH MODELS
- Absolute regularity of semi-contractive GARCH-type processes
- Data-driven score test of fit for conditional distribution in the \(\mathrm{GARCH}(1,1)\) model
- Bootstrap specification tests for dynamic conditional distribution models
- Portmanteau test for a class of multivariate asymmetric power GARCH model
- Estimation and bootstrap for stochastically monotone Markov processes
- Bootstrap for integer‐valued GARCH(p, q) processes
- Inference on GARCH-MIDAS models without any small-order moment
- Score test of fit for composite hypothesis in the GARCH\((1,1)\) model
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