Specification tests for the error distribution in GARCH models

Goodness-of-fit and symmetry tests are proposed for the innovation distribution in generalized autoregressive conditionally heteroscedastic models. The tests utilize an integrated distance involving the empirical characteristic function (or the empirical Laplace transform) computed from properly standardized observations. A bootstrap version of the tests serves the purpose of studying the small sample behaviour of the proclaimed procedures in comparison with more classical approaches. Finally, all tests are applied to some financial data sets.

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Year of publication:	2012
Authors:	Klar, B. ; Lindner, F. ; Meintanis, S.G.
Published in:	Computational Statistics & Data Analysis. - Elsevier, ISSN 0167-9473. - Vol. 56.2012, 11, p. 3587-3598
Publisher:	Elsevier
Subject:	GARCH model \| Goodness-of-fit test \| Symmetry test \| Empirical characteristic function \| Bootstrap test

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010617638