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Portmanteau test for a class of multivariate asymmetric power GARCH model

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  • Yacouba Boubacar Maïnassara
  • Othman Kadmiri
  • Bruno Saussereau

Abstract

We establish the asymptotic behaviour of the sum of squared residuals autocovariances and autocorrelations for the class of multi‐variate power transformed asymmetric models. We then derive a portmanteau test. We establish the asymptotic distribution of the proposed statistics. These asymptotic results are illustrated by Monte Carlo experiments. An application to a bivariate real financial data is also proposed.

Suggested Citation

  • Yacouba Boubacar Maïnassara & Othman Kadmiri & Bruno Saussereau, 2022. "Portmanteau test for a class of multivariate asymmetric power GARCH model," Journal of Time Series Analysis, Wiley Blackwell, vol. 43(6), pages 964-1002, November.
    • Handle: RePEc:bla:jtsera:v:43:y:2022:i:6:p:964-1002
    DOI: 10.1111/jtsa.12646
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