A Model Specification Test For GARCH(1, 1) Processes. (1st May 2015)

• Record Type: Journal Article
• Authors: Leucht, Anne; Kreiss, Jens‐Peter; Neumann, Michael H.
• Is Part Of: Scandinavian journal of statistics. Volume 42:Number 4(2015:Dec.)
• Page Start: 1167
• Page End: 1193
• Publication Date: 2015-05-01
• Subjects: bootstrap -- Cramér‐von Mises test -- generalized autoregressive conditional heteroscedacity processes -- V‐statistic; Statistics -- Periodicals; 310
• DOI: 10.1111/sjos.12158
• Languages: English
• ISSNs: 0303-6898

Abstract

Abstract: We provide a consistent specification test for generalized autoregressive conditional heteroscedastic (GARCH (1, 1)) models based on a test statistic of Cramér‐von Mises type. Because 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 to verify its asymptotic validity. Finally, we illuminate the finite sample behaviour of the test by some simulations.