Goodness-of-fit tests for Log-GARCH and EGARCH models
Christian Francq (),
Olivier Wintenberger and
Jean-Michel Zakoian ()
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Olivier Wintenberger: Universities of Paris 6 and Copenhagen, LSTA
TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, 2018, vol. 27, issue 1, 27-51
Abstract This paper studies goodness-of-fit tests and specification tests for an extension of the Log-GARCH model, which is both asymmetric and stable by scaling. A Lagrange-multiplier test is derived for testing the extended Log-GARCH against more general formulations taking the form of combinations of Log-GARCH and exponential GARCH (EGARCH). The null assumption of an EGARCH is also tested. Portmanteau goodness-of-fit tests are developed for the extended Log-GARCH. An application to real financial data is proposed.
Keywords: EGARCH; LM tests; Invertibility of time series models; Log-GARCH; Portmanteau tests; Quasi-maximum likelihood; 62M10; 62P20 (search for similar items in EconPapers)
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