A Model Specification Test For GARCH(1,1) Processes

DOI10.1111/sjos.12158zbMath1419.62238OpenAlexW1955327913MaRDI QIDQ3460672

Michael H. Neumann, Anne Leucht, Jens-Peter Kreiss

Publication date: 8 January 2016

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://madoc.bib.uni-mannheim.de/35107/1/Leucht_%26_Neumann_%26_Kreiss_13-11.pdf

zbMATH Keywords

bootstraplimit distributionCramér-von Mises testGARCH(1,1)\(V\)-statisticgeneralized autoregressive conditional heteroscedacity processes

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Nonparametric statistical resampling methods (62G09)

Related Items (9)

Portmanteau test for the asymmetric power GARCH model when the power is unknown ⋮ 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 ⋮ Goodness-of-fit tests for Log-GARCH and EGARCH models ⋮ Goodness-of-fit tests for parametric specifications of conditionally heteroscedastic models ⋮ Absolute regularity of semi-contractive GARCH-type processes ⋮ Testing the existence of moments for GARCH processes

Uses Software

• R

Cites Work

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