A note on portmanteau tests for conditional heteroscedastistic models

DOI10.1016/j.econlet.2020.109159zbMath1443.62244OpenAlexW3018816719MaRDI QIDQ777693

Feiyu Jiang, Youhong Ben

Publication date: 7 July 2020

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

Full work available at URL: https://doi.org/10.1016/j.econlet.2020.109159

zbMATH Keywords

GARCHportmanteau testnon-standard asymptoticsconditional heteroscedastistic modelsparameter on the boundary

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) Asymptotic properties of parametric tests (62F05)

Related Items (1)

Portmanteau test for a class of multivariate asymmetric power GARCH model

Cites Work

• Estimation and tests for power-transformed and threshold GARCH models
• Inference and testing on the boundary in extended constant conditional correlation GARCH models
• Generalized autoregressive conditional heteroscedasticity
• Non-standard inference for augmented double autoregressive models with null volatility coefficients
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• ON THE SQUARED RESIDUAL AUTOCORRELATIONS IN NON-LINEAR TIME SERIES WITH CONDITIONAL HETEROSKEDASTICITY
• Diagnostic checking of nonlinear multivariate time series with multivariate arch errors
• Estimation When a Parameter is on a Boundary
• Testing When a Parameter is on the Boundary of the Maintained Hypothesis
• ASYMPTOTICS FOR GARCH SQUARED RESIDUAL CORRELATIONS
• QML INFERENCE FOR VOLATILITY MODELS WITH COVARIATES
• GARCH Models
• Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons
• Threshold heteroskedastic models

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