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A residual-based test for multivariate GARCH models using transformed quadratic residuals

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  • Ke, Rui
  • Jia, Jing
  • Tan, Changchun

Abstract

This paper provides a residual-based approach to examine the adequacy of multivariate GARCH models. We employ the transformed quadratic residuals to construct the residual-based statistic and derive its correct asymptotic distribution by taking into account the impact of parameter estimation uncertainty. The simulation results indicate that the residual-based test achieves reasonable sizes and comparable powers. An empirical application further shows the usefulness of the proposed test.

Suggested Citation

  • Ke, Rui & Jia, Jing & Tan, Changchun, 2021. "A residual-based test for multivariate GARCH models using transformed quadratic residuals," Economics Letters, Elsevier, vol. 206(C).
    • Handle: RePEc:eee:ecolet:v:206:y:2021:i:c:s016517652100255x
    DOI: 10.1016/j.econlet.2021.109978
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    References listed on IDEAS

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    Cited by:

    1. 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.
    2. Xin Chen & Zhangming Shan & Decai Tang & Biao Zhou & Valentina Boamah, 2023. "Interest rate risk of Chinese commercial banks based on the GARCH-EVT model," Palgrave Communications, Palgrave Macmillan, vol. 10(1), pages 1-11, December.

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