Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons

DOI10.1198/jasa.2009.0117zbMath1388.62252OpenAlexW2075597681MaRDI QIDQ5256127

Jean-Michel Zakoian, Christian Francq

Publication date: 22 June 2015

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: http://crest.science/RePEc/wpstorage/2008-04.pdf

zbMATH Keywords

asymptotic efficiency local alternatives score tests boundary Wald tests quasi-maximum likelihood estimation chi-bar distribution

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Non-Markovian processes: estimation (62M09)

Related Items (21)

RANK-BASED ESTIMATION FOR GARCH PROCESSES ⋮ A factor-GARCH model for high dimensional volatilities ⋮ Inference and testing on the boundary in extended constant conditional correlation GARCH models ⋮ QML ESTIMATION OF A CLASS OF MULTIVARIATE ASYMMETRIC GARCH MODELS ⋮ Dynamic conditional eigenvalue GARCH ⋮ A simple joint model for returns, volatility and volatility of volatility ⋮ Estimation of the empirical risk‐return relation: A generalized‐risk‐in‐mean model ⋮ Inference for asymmetric exponentially weighted moving average models ⋮ Computing and estimating information matrices of weak ARMA models ⋮ Conditional asymmetry in power ARCH\((\infty)\) models ⋮ Subvector inference when the true parameter vector may be near or at the boundary ⋮ Adaptive inference for a semiparametric generalized autoregressive conditional heteroskedasticity model ⋮ Poisson QMLE of Count Time Series Models ⋮ Non-standard inference for augmented double autoregressive models with null volatility coefficients ⋮ Bahadur intercept with applications to one-sided testing ⋮ Asymptotic properties of \textit{QMLE} for seasonal threshold \textit{GARCH} model with periodic coefficients ⋮ On Diagnostic Checking Autoregressive Conditional Duration Models with Wavelet-Based Spectral Density Estimators ⋮ A note on portmanteau tests for conditional heteroscedastistic models ⋮ TESTING GARCH-X TYPE MODELS ⋮ QML INFERENCE FOR VOLATILITY MODELS WITH COVARIATES ⋮ Bootstrap inference on the boundary of the parameter space, with application to conditional volatility models

This page was built for publication: Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons