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Portmanteau goodness-of-fit test for asymmetric power GARCH models

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  • Carbon, Michel
  • Francq, Christian

Abstract

The asymptotic distribution of a vector of autocorrelations of squared residuals is derived for a wide class of asymmetric GARCH models. Portmanteau adequacy tests are deduced. %gathered These results are obtained under moment assumptions on the iid process, but fat tails are allowed for the observed process, which is particularly relevant for series of financial returns. A Monte Carlo experiment and an illustration to financial series are also presented.

Suggested Citation

  • Carbon, Michel & Francq, Christian, 2010. "Portmanteau goodness-of-fit test for asymmetric power GARCH models," MPRA Paper 27686, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:27686
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    File URL: https://mpra.ub.uni-muenchen.de/27686/1/MPRA_paper_27686.pdf
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    References listed on IDEAS

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    1. Berkes, István & Horváth, Lajos & Kokoszka, Piotr, 2003. "Asymptotics For Garch Squared Residual Correlations," Econometric Theory, Cambridge University Press, vol. 19(4), pages 515-540, August.
    2. Glosten, Lawrence R & Jagannathan, Ravi & Runkle, David E, 1993. "On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks," Journal of Finance, American Finance Association, vol. 48(5), pages 1779-1801, December.
    3. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
    4. Rabemananjara, R & Zakoian, J M, 1993. "Threshold Arch Models and Asymmetries in Volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(1), pages 31-49, Jan.-Marc.
    5. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
    6. Ding, Zhuanxin & Granger, Clive W. J. & Engle, Robert F., 1993. "A long memory property of stock market returns and a new model," Journal of Empirical Finance, Elsevier, vol. 1(1), pages 83-106, June.
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    Cited by:

    1. Chunliang Deng & Xingfa Zhang & Yuan Li & Qiang Xiong, 2020. "Garch Model Test Using High-Frequency Data," Mathematics, MDPI, vol. 8(11), pages 1-17, November.
    2. Zhu, Ke, 2012. "A mixed portmanteau test for ARMA-GARCH model by the quasi-maximum exponential likelihood estimation approach," MPRA Paper 40382, University Library of Munich, Germany.

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    More about this item

    Keywords

    ARCH models; Leverage effect; Portmanteau test; Goodness-of-fit test; Diagnostic checking;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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