A model specification test for GARCH(1,1) processes

Anne Leucht; Michael H. Neumann; Jens-Peter Kreiss

We provide a consistent specification test for GARCH(1,1) models based on a test statistic of Cramér-von Mises type. Since the limit distribution of the test statistic under the null hypothesis depends on unknown quantities in a complicated manner, we propose a model-based (semiparametric)bootstrap method to approximate critical values of the test and verify its asymptotic validity. Finally, we illuminate the finite sample behavior of the test by some simulations.

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Year of publication:	November 2013
Authors:	Leucht, Anne ; Neumann, Michael H. ; Kreiß, Jens-Peter
Publisher:	Mannheim : Universität Mannheim, Department of Economics
Subject:	Bootstrap \| Cramér-von Mises test \| GARCH processes \| V-statistic \| ARCH-Modell \| ARCH model \| Bootstrap-Verfahren \| Bootstrap approach \| Statistischer Test \| Statistical test \| Schätztheorie \| Estimation theory \| Zeitreihenanalyse \| Time series analysis

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Extent:	1 Online-Ressource
Series:	Working paper series. - Mannheim : Universität Mannheim, ZDB-ID 2859003-X. - Vol. 13-11
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature
Language:	English
Other identifiers:	hdl:10419/129553 [Handle]
Classification:	C12 - Hypothesis Testing
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10011490275