A Model Specification Test For GARCH(1,1) Processes

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

Scandinavian Journal of Statistics, 2015, vol. 42, issue 4, 1167-1193

Abstract: type="main" xml:id="sjos12158-abs-0001"> We provide a consistent specification test for generalized autoregressive conditional heteroscedastic (GARCH (1,1)) models based on a test statistic of Cramér-von Mises type. Because 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 to verify its asymptotic validity. Finally, we illuminate the finite sample behaviour of the test by some simulations.

Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)

Downloads: (external link)
http://hdl.handle.net/10.1111/sjos.12158 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:scjsta:v:42:y:2015:i:4:p:1167-1193

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0303-6898

Access Statistics for this article

Scandinavian Journal of Statistics is currently edited by ÿrnulf Borgan and Bo Lindqvist

More articles in Scandinavian Journal of Statistics from Danish Society for Theoretical Statistics, Finnish Statistical Society, Norwegian Statistical Association, Swedish Statistical Association
Bibliographic data for series maintained by Wiley Content Delivery ().