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

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.

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Year of publication:	2002-04
Authors:	LEJEUNE, Bernard
Institutions:	Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain
Subject:	parametric conditional heteroscedasticity models \| distributional speciﬁcation test \| m-testing

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Extent:	application/pdf
Series:	CORE Discussion Papers.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series UNIVERSITE CATHOLIQUE DE LOUVAIN, Center for Operations Research and Econometrics (CORE) Number 2002024
Classification:	C12 - Hypothesis Testing ; C22 - Time-Series Models ; C52 - Model Evaluation and Testing
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005043744