Goodness-of-fit tests for Log-GARCH and EGARCH models

DOI10.1007/s11749-016-0506-2OpenAlexW2529210590MaRDI QIDQ1708360

Christian Francq, Olivier Wintenberger, Jean-Michel Zakoian

Publication date: 23 March 2018

Published in: Test (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1601.05560

zbMATH Keywords

quasi-maximum likelihoodEGARCHLM testsinvertibility of time series modelsLog-GARCHPortmanteau tests

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items

Portmanteau test for the asymmetric power GARCH model when the power is unknown, Portmanteau test for a class of multivariate asymmetric power GARCH model, Exponential control of the trajectories of iterated function systems with application to semi-strong GARCH models, Goodness-of-fit tests for parametric specifications of conditionally heteroscedastic models, Editorial, Asymptotic normality of the MLE in the level-effect ARCH model

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