A functional conditional symmetry test for a GARCH-SM model: Power asymptotic properties

Laïb Naâmane, Lemdani Mohamed and Ould Saïd Elias

Statistics & Risk Modeling, 2013, vol. 30, issue 1, 75-104

Abstract: In this paper we consider the empirical process of the errors appearing in a generalized autoregressive conditional heteroskedastic with stochastic mean (GARCH-SM) model. Various functional tests of conditional symmetry can be built on the basis of the limiting distribution of this process. In particular, a Cramér–von Mises-type test is considered. Its theoretical power is studied under fixed and local alternatives. Using the Karhunen–Loève decomposition, the limiting law of the latter is approximated by a chi-square distribution under both null and alternative hypotheses. The local power under a sequence of alternatives is also computed.

Keywords: Contiguity; GARCH-SM model; goodness-of-fit; local power; residual law (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://doi.org/10.1524/strm.2012.1082 (text/html)
For access to full text, subscription to the journal or payment for the individual article is required.

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:bpj:strimo:v:30:y:2013:i:1:p:75-104:n:1

Ordering information: This journal article can be ordered from
https://www.degruyter.com/journal/key/strm/html

DOI: 10.1524/strm.2012.1082

Access Statistics for this article

Statistics & Risk Modeling is currently edited by Robert Stelzer

More articles in Statistics & Risk Modeling from De Gruyter
Bibliographic data for series maintained by Peter Golla ().