Department of Mathematics
Testing the adequacy of GARCH-type models in time series
In this article a new approach for checking the adequacy of GARCH-type models in time series was proposed. The resulted tests involve weight functions, which provide them with the flexibility in choosing scores to enhance power performance. The choice of weight functions and the power properties of the tests are studied. For a large number of alternatives, asymptotically distribution-free maximin test is constructed. The tests are asymptotically chi-squared under the null hypothesis and easy to implement. Simulation results indicate that the tests perform well. © 2009 Wuhan Institute of Physics and Mathematics.
62F05, 62H15, GARCH-type models, maximin test, model diagnostic checking, score type test
Source Publication Title
Acta Mathematica Scientia
Jianhong, Wu, and Zhu Lixing. "Testing the adequacy of GARCH-type models in time series." Acta Mathematica Scientia 29.2 (2009): 327-340.