Specification tests for the error distribution in GARCH models

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• 作者：B. Klar^a ; ^{bernhard.klar@kit.edu} ; F. Lindner^a ; ^{franziska.lindner@kit.edu} ; S.G. Meintanis^b ; ^{simosmei@econ.uoa.gr}
• 关键词：GARCH model ; Goodness-of-fit test ; Symmetry test ; Empirical characteristic function ; Bootstrap test
• 刊名：Computational Statistics and Data Analysis
• 出版年：2012
• 出版时间：November, 2012
• 年：2012
• 卷：56
• 期：11
• 页码：3587-3598
• 全文大小：355 K

文摘

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.