Testing the adequacy of GARCH-type models in time series

DOI10.1016/S0252-9602(09)60033-3MaRDI QIDQ846855zbMATH OpenFDO

Authors Jianhong Wu, Li-Xing Zhu

Publication date 12 February 2010

Published in Acta Mathematica Scientia. Series B. (English Edition) (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0252-9602(09)60033-3

zbMATH Keywords

maximin testsmodel diagnosticsscore type tests

Mathematics Subject Classification ID

Asymptotic properties of parametric tests (62F05) Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• Evaluating GARCH models.
• Diagnostic checking of multivariate time series GARCH-type models
• Diagnostic checking for GARCH-type models
• Diagnostic checking for the adequacy of nonlinear time series models
• Asymptotic distribution-free diagnostic tests for heteroskedastic time series models

Cited in

(7)

• Testing for identification in SVAR-GARCH models
• Evaluating GARCH models.
• Artificial regression testing in the GARCH‐in‐mean model
• Diagnostic checking for the adequacy of nonlinear time series models
• Diagnostic checking for GARCH-type models
• Testing GARCH-X type models
• Appraisal of excess Kurtosis through outlier-modified GARCH-type models

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