EconPapers    
Economics at your fingertips  
 

Tests for conditional ellipticity in multivariate GARCH models

Christian Francq (), Jiménez-Gamero, M.D. and S.G. Meintanis

Journal of Econometrics, 2017, vol. 196, issue 2, 305-319

Abstract: Tests are proposed for the assumption that the conditional distribution of a multivariate GARCH process is elliptic. These tests are of Kolmogorov–Smirnov and Cramér–von Mises-type and make use of the common geometry underlying the characteristic function of any spherically symmetric distribution. The asymptotic null distribution of the test statistics as well as the consistency of the tests is investigated under general conditions. It is shown that both the finite sample and the asymptotic null distribution depend on the unknown distribution of the Euclidean norm of the innovations. Therefore a conditional Monte Carlo procedure is used to actually carry out the tests. The validity of this resampling scheme is formally justified. Results on the behavior of the new tests in finite-samples are included along with comparisons with other tests.

Keywords: MGARCH; Spherical symmetry; Empirical characteristic function; Conditional Monte Carlo test; Extended CCC-GARCH (search for similar items in EconPapers)
JEL-codes: C12 C15 C32 C58 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2) Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0304407616301920
Full text for ScienceDirect subscribers only

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:eee:econom:v:196:y:2017:i:2:p:305-319

Access Statistics for this article

Journal of Econometrics is currently edited by T. Amemiya, A. R. Gallant, J. F. Geweke, C. Hsiao and P. M. Robinson

More articles in Journal of Econometrics from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().

 
Page updated 2019-09-30
Handle: RePEc:eee:econom:v:196:y:2017:i:2:p:305-319