Goodness-of-fit tests for the multivariate Student-t distribution based on i.i.d. data, and for GARCH observations
Loading...
Date
Authors
Researcher ID
Supervisors
Journal Title
Journal ISSN
Volume Title
Publisher
Springer New York
Record Identifier
Abstract
We consider goodness-of-fit tests for the multivariate Student's t-distribution with i.i.d. data and for the innovation distribution
in a generalized autoregressive conditional heteroskedasticity model. The methods are based on the empirical characteristic
function and are relatively easy to implement, invariant under linear transformations, and globally consistent. Asymptotic
properties of the proposed procedures are investigated, while the finite-sample properties are illustrated by means of a Monte
Carlo study. The procedures are also applied to real data from the financial markets.
Sustainable Development Goals
Description
aDepartment of Economics, National and Kapodistrian University of Athens, Athens, Greece bPure and Applied Analytics, North-West University, Potchefstroom, South Africa cFaculty of Mathematics, University of Belgrade, Belgrade, Serbia