Goodness-of-fit tests for Log-GARCH and EGARCH models View Full Text


Ontology type: schema:ScholarlyArticle     


Article Info

DATE

2018-03

AUTHORS

Christian Francq, Olivier Wintenberger, Jean-Michel Zakoïan

ABSTRACT

This paper studies goodness-of-fit tests and specification tests for an extension of the Log-GARCH model, which is both asymmetric and stable by scaling. A Lagrange-multiplier test is derived for testing the extended Log-GARCH against more general formulations taking the form of combinations of Log-GARCH and exponential GARCH (EGARCH). The null assumption of an EGARCH is also tested. Portmanteau goodness-of-fit tests are developed for the extended Log-GARCH. An application to real financial data is proposed. More... »

PAGES

27-51

Identifiers

URI

http://scigraph.springernature.com/pub.10.1007/s11749-016-0506-2

DOI

http://dx.doi.org/10.1007/s11749-016-0506-2

DIMENSIONS

https://app.dimensions.ai/details/publication/pub.1035524817


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