Portmanteau test for the asymmetric power GARCH model when the power is unknown

Yacouba Boubacar Maïnassara (), Othman Kadmiri () and Bruno Saussereau ()
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Yacouba Boubacar Maïnassara: Université Bourgogne Franche-Comté, Laboratoire de mathématiques de Besançon, UMR CNRS 6623
Othman Kadmiri: Université Bourgogne Franche-Comté, Laboratoire de mathématiques de Besançon, UMR CNRS 6623
Bruno Saussereau: Université Bourgogne Franche-Comté, Laboratoire de mathématiques de Besançon, UMR CNRS 6623

Statistical Papers, 2022, vol. 63, issue 3, No 3, 755-793

Abstract: Abstract It is now widely accepted that, to model the dynamics of daily financial returns, volatility models have to incorporate the so-called leverage effect. We derive the asymptotic behaviour of the squared residuals autocovariances for the class of asymmetric power GARCH model when the power is unknown and is jointly estimated with the model’s parameters. We then deduce a portmanteau adequacy test based on the autocovariances of the squared residuals. These asymptotic results are illustrated by Monte Carlo experiments. An application to real financial data is also proposed.

Keywords: Asymmetric power GARCH models; Goodness-of-fit test; Portmanteau test; Residuals autocovariances; Threshold models; Validation; Primary 62M10; 62F03; 62F05; secondary 91B84; 62P05 (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1007/s00362-021-01257-w

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