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

Rui Ke, Jing Jia and Changchun Tan

Economics Letters, 2021, vol. 206, issue C

Abstract: This paper provides a residual-based approach to examine the adequacy of multivariate GARCH models. We employ the transformed quadratic residuals to construct the residual-based statistic and derive its correct asymptotic distribution by taking into account the impact of parameter estimation uncertainty. The simulation results indicate that the residual-based test achieves reasonable sizes and comparable powers. An empirical application further shows the usefulness of the proposed test.

Keywords: Multivariate GARCH model; Model checking; Residual-based statistic; Transformed quadratic residuals (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:206:y:2021:i:c:s016517652100255x

DOI: 10.1016/j.econlet.2021.109978

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