A model specification test for GARCH(1,1) processes

Anne Leucht, Michael H. Neumann and Jens-Peter Kreiss

No 13-11, Working Papers from University of Mannheim, Department of Economics

Abstract: We provide a consistent specification test for GARCH(1,1) models based on a test statistic of Cramér-von Mises type. Since the limit distribution of the test statistic under the null hypothesis depends on unknown quantities in a complicated manner, we propose a model-based (semiparametric)bootstrap method to approximate critical values of the test and verify its asymptotic validity. Finally, we illuminate the finite sample behavior of the test by some simulations.

Keywords: Bootstrap; Cramér-von Mises test; GARCH processes; V-statistic (search for similar items in EconPapers)
JEL-codes: C12 (search for similar items in EconPapers)
Date: 2013
New Economics Papers: this item is included in nep-ecm and nep-ets
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Persistent link: https://EconPapers.repec.org/RePEc:mnh:wpaper:35107

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