Testing the adequacy of GARCH-type models in time series

Wu Jianhong; Lixing ZHU

doi:10.1016/S0252-9602(09)60033-3

Testing the adequacy of GARCH-type models in time series

Wu Jianhong^*, Lixing ZHU

^*Corresponding author for this work

Department of Mathematics

Research output: Contribution to journal › Journal article › peer-review

1 Citation (Scopus)

Abstract

In this article a new approach for checking the adequacy of GARCH-type models in time series was proposed. The resulted tests involve weight functions, which provide them with the flexibility in choosing scores to enhance power performance. The choice of weight functions and the power properties of the tests are studied. For a large number of alternatives, asymptotically distribution-free maximin test is constructed. The tests are asymptotically chi-squared under the null hypothesis and easy to implement. Simulation results indicate that the tests perform well.

Original language	English
Pages (from-to)	327-340
Number of pages	14
Journal	Acta Mathematica Scientia
Volume	29
Issue number	2
DOIs	https://doi.org/10.1016/S0252-9602(09)60033-3
Publication status	Published - Mar 2009

Scopus Subject Areas

Mathematics(all)
Physics and Astronomy(all)

User-Defined Keywords

62F05
62H15
GARCH-type models
maximin test
model diagnostic checking
score type test

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10.1016/S0252-9602(09)60033-3

Cite this

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title = "Testing the adequacy of GARCH-type models in time series",

abstract = "In this article a new approach for checking the adequacy of GARCH-type models in time series was proposed. The resulted tests involve weight functions, which provide them with the flexibility in choosing scores to enhance power performance. The choice of weight functions and the power properties of the tests are studied. For a large number of alternatives, asymptotically distribution-free maximin test is constructed. The tests are asymptotically chi-squared under the null hypothesis and easy to implement. Simulation results indicate that the tests perform well.",

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author = "Wu Jianhong and Lixing ZHU",

note = "Funding Information: ∗Received August 30, 2006; revised September 7, 2007. This work was partially supported by a grant from the Research Grants Council of Hong Kong. Jianhong Wu was also supported by a grant from Humanities & Social Sciences in Chinese University (07JJD790154) and the Youth Talent Foundation of Zhejiang GongShang University (Q09-12)",

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N2 - In this article a new approach for checking the adequacy of GARCH-type models in time series was proposed. The resulted tests involve weight functions, which provide them with the flexibility in choosing scores to enhance power performance. The choice of weight functions and the power properties of the tests are studied. For a large number of alternatives, asymptotically distribution-free maximin test is constructed. The tests are asymptotically chi-squared under the null hypothesis and easy to implement. Simulation results indicate that the tests perform well.

AB - In this article a new approach for checking the adequacy of GARCH-type models in time series was proposed. The resulted tests involve weight functions, which provide them with the flexibility in choosing scores to enhance power performance. The choice of weight functions and the power properties of the tests are studied. For a large number of alternatives, asymptotically distribution-free maximin test is constructed. The tests are asymptotically chi-squared under the null hypothesis and easy to implement. Simulation results indicate that the tests perform well.

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Testing the adequacy of GARCH-type models in time series

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