Portmanteau goodness-of-fit test for asymmetric power GARCH models

Michel Carbon and Christian Francq

MPRA Paper from University Library of Munich, Germany

Abstract: The asymptotic distribution of a vector of autocorrelations of squared residuals is derived for a wide class of asymmetric GARCH models. Portmanteau adequacy tests are deduced. %gathered These results are obtained under moment assumptions on the iid process, but fat tails are allowed for the observed process, which is particularly relevant for series of financial returns. A Monte Carlo experiment and an illustration to financial series are also presented.

Keywords: ARCH models; Leverage effect; Portmanteau test; Goodness-of-fit test; Diagnostic checking (search for similar items in EconPapers)
JEL-codes: C12 C22 (search for similar items in EconPapers)
Date: 2010
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (2)

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