Portmanteau test for a class of multivariate asymmetric power GARCH model

Yacouba Boubacar Maïnassara, Othman Kadmiri and Bruno Saussereau

Journal of Time Series Analysis, 2022, vol. 43, issue 6, 964-1002

Abstract: We establish the asymptotic behaviour of the sum of squared residuals autocovariances and autocorrelations for the class of multi‐variate power transformed asymmetric models. We then derive a portmanteau test. We establish the asymptotic distribution of the proposed statistics. These asymptotic results are illustrated by Monte Carlo experiments. An application to a bivariate real financial data is also proposed.

Date: 2022
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