A residual-based test for multivariate GARCH models using transformed quadratic residuals

DOI10.1016/J.ECONLET.2021.109978zbMath1473.62309OpenAlexW3177872771MaRDI QIDQ1984480

Rui Ke, Jing Jia, Chang-Chun Tan

Publication date: 16 September 2021

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2021.109978

zbMATH Keywords

model checkingmultivariate GARCH modelresidual-based statistictransformed quadratic residuals

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Hypothesis testing in multivariate analysis (62H15)

Related Items (1)

Portmanteau test for a class of multivariate asymmetric power GARCH model

Cites Work

• The asymptotic effect of substituting estimators for parameters in certain types of statistics
• Comparison of specification tests for GARCH models
• Wild bootstrap Ljung-Box test for cross correlations of multivariate time series
• On matricial measures of dependence in vector ARCH models with applications to diagnostic checking
• The Multivariate Portmanteau Statistic
• Diagnostic checking of nonlinear multivariate time series with multivariate arch errors
• Residual‐based diagnostics for conditional heteroscedasticity models
• On testing for multivariate ARCH effects in vector time series models
• A Note on Diagnosing Multivariate Conditional Heteroscedasticity Models

This page was built for publication: A residual-based test for multivariate GARCH models using transformed quadratic residuals