Specification tests for the error distribution in GARCH models

Authors:
B. Klar;F. Lindner;S. G. Meintanis
Affiliations:
Institut für Stochastik, Karlsruhe Institute of Technology (KIT), Kaiserstraíe 89, 76133 Karlsruhe, Germany;Institut für Stochastik, Karlsruhe Institute of Technology (KIT), Kaiserstraíe 89, 76133 Karlsruhe, Germany;Department of Economics, National and Kapodistrian University of Athens, 8 Pesmazoglou Street, 105 59 Athens, Greece
Venue:
Computational Statistics & Data Analysis
Year:
2012

Citing 3
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Goodness-of-fit techniques

Goodness-of-fit techniques
A new approach to the BHEP tests for multivariate normality

Journal of Multivariate Analysis
Invariant tests for symmetry about an unspecified point based on the empirical characteristic function

Journal of Multivariate Analysis

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Abstract

Goodness-of-fit and symmetry tests are proposed for the innovation distribution in generalized autoregressive conditionally heteroscedastic models. The tests utilize an integrated distance involving the empirical characteristic function (or the empirical Laplace transform) computed from properly standardized observations. A bootstrap version of the tests serves the purpose of studying the small sample behaviour of the proclaimed procedures in comparison with more classical approaches. Finally, all tests are applied to some financial data sets.