Testing the adequacy of GARCH-type models in time series

Wu Jianhong*, Lixing ZHU

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-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 languageEnglish
Pages (from-to)327-340
Number of pages14
JournalActa Mathematica Scientia
Volume29
Issue number2
DOIs
Publication statusPublished - 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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