Sign-based portmanteau test for ARCH-type models with heavy-tailed innovations

Min Chen and Ke Zhu ()

Journal of Econometrics, 2015, vol. 189, issue 2, 313-320

Abstract: This paper proposes a sign-based portmanteau test for diagnostic checking of ARCH-type models estimated by the least absolute deviation approach. Under the strict stationarity condition, the asymptotic distribution is obtained. The new test is applicable for very heavy-tailed innovations with only finite fractional moments. Simulations are undertaken to assess the performance of the sign-based test, as well as a comparison with other two portmanteau tests. A real empirical example for exchange rates is given to illustrate the practical usefulness of the test.

Keywords: ARCH-type model; Heavy-tailed innovation; LAD estimator; Model diagnostics; Sign-based portmanteau test (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (11)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:189:y:2015:i:2:p:313-320

DOI: 10.1016/j.jeconom.2015.03.025

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