A weighted goodness-of-fit test for GARCH(1,1) specification

DOI10.1023/B:LIMA.0000019853.48790.02zbMath1047.62015OpenAlexW2050040992MaRDI QIDQ1881754

István Berkes, Lajos Horváth, Piotr S. Kokoszka

Publication date: 15 October 2004

Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/b:lima.0000019853.48790.02

zbMATH Keywords

asymptotic normalityquasi-maximum likelihood estimatorchi-square testssquared residualsGARCH(1,1) sequence

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05)

Related Items (4)

Comparison of specification tests for GARCH models ⋮ A Model Specification Test For GARCH(1,1) Processes ⋮ A Central Limit Theorem in Non‐parametric Regression with Truncated, Censored and Dependent Data ⋮ A comparison of alternative techniques for selecting an optimum ARCH model

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