Facultade de Fisioterapia

Goodness-of-fit tests for parametric specifications of conditionally heteroscedastic models

Jiménez Gamero, María Dolores; Lee, Sangyeol; Meintanis, Simos G.
Abstract:
We consider a goodness-of-fit test for certain parametrizations of conditionally heteroscedastic time series with unobserved components. Our test is quite general in that it can be employed to validate any given specification of arbitrary order and may even be invoked for testing not just GARCH models but also some related models such as autoregressive conditional duration models. The test statistic utilizes the characterization of Bierens (J Econom 20:105–134, 1982) and may be written down in a convenient closed-form expression. Consistency of the test is proved, and the asymptotic distribution of the test statistic under the null hypothesis is studied. Since this distribution depends on unknown quantities, two bootstrap resampling schemes are investigated and compared in order to approximate critical points and actually carry out the test. Finite-sample results are presented as well as applications of the proposed procedures to real data from the financial markets.
Year:
2019
Type of Publication:
Article
Keywords:
GARCH model; Goodness of fit test; Bierens characterization; Conditional duration model; Weighted bootstrap
Journal:
TEST
Pages:
In press
Month:
August
Note:
Q2 42/123 1.423 (JCR2018)
Comments:
MTM2017–89422–P // 2018R1A2A2A05019433
DOI:
https://doi.org/10.1007/s11749-019-00676-0
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