A residual-based test for multivariate GARCH models using transformed quadratic residuals

DOI10.1016/J.ECONLET.2021.109978MaRDI QIDQ1984480zbMATH OpenOpenAlexFDO

Authors Rui Ke, Jing Jia, Changchun Tan

Publication date 16 September 2021

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2021.109978

zbMATH Keywords

model checkingmultivariate GARCH modelresidual-based statistictransformed quadratic residuals

Mathematics Subject Classification ID

Hypothesis testing in multivariate analysis (62H15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• A Note on Diagnosing Multivariate Conditional Heteroscedasticity Models
• Comparison of specification tests for GARCH models
• Diagnostic checking of nonlinear multivariate time series with multivariate arch errors
• On matricial measures of dependence in vector ARCH models with applications to diagnostic checking
• On testing for multivariate ARCH effects in vector time series models
• Residual‐based diagnostics for conditional heteroscedasticity models
• The asymptotic effect of substituting estimators for parameters in certain types of statistics
• The Multivariate Portmanteau Statistic
• Wild bootstrap Ljung-Box test for cross correlations of multivariate time series

Cited in

(5)

• On score vector- and residual-based CUSUM tests in ARMA-GARCH models
• Residual-based rank specification tests for AR-GARCH type models
• Monitoring distributional changes of squared residuals in GARCH models
• Exploring the impact of multivariate GARCH innovations on hypothesis testing for cointegrating vectors
• Portmanteau test for a class of multivariate asymmetric power GARCH model

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