Diagnostic checking for GARCH-type models

DOI10.1080/03610926.2011.588366MaRDI QIDQ4921650zbMATH OpenOpenAlexFDO

Authors Farhat Iqbal

Publication date 13 May 2013

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2011.588366

zbMATH Keywords

diagnostic checkingGARCHM-estimatorresidual autocorrelation

Mathematics Subject Classification ID

Asymptotic properties of parametric tests (62F05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• Diagnostic checking for time series models with conditional heteroscedasticity estimated by the least absolute deviation approach
• Evaluating GARCH models.
• Testing the adequacy of GARCH-type models in time series
• Diagnostic checking of multivariate time series GARCH-type models
• Diagnostics for conditional heteroscedasticity models: some simulation results.

Cites work

• M-ESTIMATION IN GARCH MODELS
• A comparative study of the finite-sample performance of some portmanteau tests for randomness of a time series
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED-RESIDUAL AUTOCORRELATIONS
• Diagnostic checking for time series models with conditional heteroscedasticity estimated by the least absolute deviation approach
• Diagnostic checking of nonlinear multivariate time series with multivariate arch errors
• Diagnostics for conditional heteroscedasticity models: some simulation results.
• Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
• Generalized autoregressive conditional heteroscedasticity
• scientific article; zbMATH DE number 3395169 (Why is no real title available?)
• Least absolute deviations estimation for ARCH and GARCH models
• ON THE SQUARED RESIDUAL AUTOCORRELATIONS IN NON-LINEAR TIME SERIES WITH CONDITIONAL HETEROSKEDASTICITY
• Testing for conditional heteroscedasticity: some monte carlo results
• The efficiency of the estimators of the parameters in GARCH processes.

Cited in

(8)

• Influence diagnostics in log-linear integer-valued GARCH models
• Serial independence tests for innovations of conditional mean and variance models
• Evaluating GARCH models.
• On the estimation and diagnostic checking of the ARFIMA-HYGARCH model
• A mixed portmanteau test for ARMA-GARCH models by the quasi-maximum exponential likelihood estimation approach
• Diagnostic checking for time series models with conditional heteroscedasticity estimated by the least absolute deviation approach
• Diagnostic test for the two-step estimators of heavy-tailed GARCH models
• Testing the adequacy of GARCH-type models in time series

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