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Goodness‐of‐fit tests for the multivariate Student‐t distribution based on i.i.d. data, and for GARCH observations

Simos Meintanis, Bojana Milošević, Marko Obradović and Mirjana Veljović

Journal of Time Series Analysis, 2024, vol. 45, issue 2, 298-319

Abstract: We consider goodness‐of‐fit tests for the multivariate Student's t‐distribution with i.i.d. data and for the innovation distribution in a generalized autoregressive conditional heteroskedasticity model. The methods are based on the empirical characteristic function and are relatively easy to implement, invariant under linear transformations, and globally consistent. Asymptotic properties of the proposed procedures are investigated, while the finite‐sample properties are illustrated by means of a Monte Carlo study. The procedures are also applied to real data from the financial markets.

Date: 2024
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https://doi.org/10.1111/jtsa.12713

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