Specification tests for the error distribution in GARCH models

B. Klar, F. Lindner and S.G. Meintanis

Computational Statistics & Data Analysis, 2012, vol. 56, issue 11, 3587-3598

Abstract: Goodness-of-fit and symmetry tests are proposed for the innovation distribution in generalized autoregressive conditionally heteroscedastic models. The tests utilize an integrated distance involving the empirical characteristic function (or the empirical Laplace transform) computed from properly standardized observations. A bootstrap version of the tests serves the purpose of studying the small sample behaviour of the proclaimed procedures in comparison with more classical approaches. Finally, all tests are applied to some financial data sets.

Keywords: GARCH model; Goodness-of-fit test; Symmetry test; Empirical characteristic function; Bootstrap test (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (17)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:csdana:v:56:y:2012:i:11:p:3587-3598

DOI: 10.1016/j.csda.2010.05.029

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