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dc.contributor.authorJiménez-Gamero, M. Dolores
dc.contributor.authorMeintanis, Simos G.
dc.contributor.authorLee, Sangyeol
dc.identifier.citationJiménez-Gamero, M.D. et al. 2020. Goodness-of-fit tests for parametric specifications of conditionally heteroscedastic models. Test, 29:682-703. []en_US
dc.identifier.issn1863-8260 (Online)
dc.description.abstractWe 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 marketsen_US
dc.subjectGARCH modelen_US
dc.subjectGoodness-of-fit testen_US
dc.subjectBierens characterizationen_US
dc.subjectConditional duration modelen_US
dc.subjectWeighted bootstrapen_US
dc.titleGoodness-of-fit tests for parametric specifications of conditionally heteroscedastic modelsen_US
dc.contributor.researchID21262977 - Meintanis, Simos George

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