A diagnostic m-test for distributional specification of parametric conditional heteroscedasticity models for financial data

Bernard Lejeune

No 2002024, LIDAM Discussion Papers CORE from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)

Abstract: This paper proposes a convenient and generally applicable diognostic m-test for checking the distributional specification of parametric conditional heteroscedasticity models for financial data such as customary student t GARCH model. The proposed test is based on the moments of probability integral transform of the innovations of the assumed model. Monte-carlo evidence indicates that our suggested test performs well both in terms of size and power.

Keywords: parametric conditional heteroscedasticity models; distributional specification test; m-testing (search for similar items in EconPapers)
JEL-codes: C12 C22 C52 (search for similar items in EconPapers)
Date: 2002-04
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Citations: View citations in EconPapers (2)

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