On the empirical characteristic function process of the residuals in GARCH models and applications

M. Jiménez Gamero ()

TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, 2014, vol. 23, issue 2, 409-432

Abstract: The class of generalized autoregressive conditional heteroscedastic (GARCH) models has been proved to be particularly valuable in modeling financial data. This paper is devoted to study the empirical characteristic function process of the residuals. Specifically, it is shown that such process uniformly converges to the population characteristic function (CF) of the innovations in compact sets. The weak convergence of this empirical process, suitably normalized, is also studied. The limit depends on the population CF of the innovations, the equation defining the GARCH model and the parameter estimators employed to calculate the residuals. Applications of the obtained results for testing symmetry and goodness-of-fit to the law of the innovations are given. Copyright Sociedad de Estadística e Investigación Operativa 2014

Keywords: GARCH; Residuals; Empirical characteristic function; Symmetry; Goodness-of-fit; Bootstrap; 60F05; 60E05; 62M10; 62F40 (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (11)

Downloads: (external link)
http://hdl.handle.net/10.1007/s11749-014-0359-5 (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:spr:testjl:v:23:y:2014:i:2:p:409-432

Ordering information: This journal article can be ordered from
http://www.springer. ... cs/journal/11749/PS2

DOI: 10.1007/s11749-014-0359-5

Access Statistics for this article

TEST: An Official Journal of the Spanish Society of Statistics and Operations Research is currently edited by Alfonso Gordaliza and Ana F. Militino

More articles in TEST: An Official Journal of the Spanish Society of Statistics and Operations Research from Springer, Sociedad de Estadística e Investigación Operativa
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().