TESTING THE ADEQUACY OF GARCH-TYPE MODELS IN TIME SERIES |
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| Authors: | Wu Jianhong Zhu Lixing |
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| Institution: | [1]College of Statistics and Mathematics, Zhejiang Gongshang University, Hangzhou 310018, China [2]Department of Mathematics, Hong Kong Baptist University, Hong Kong, China [3]Department of Statistics, East China Normal University, Shanghai 200062, China |
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| Abstract: | In this article a new approach for checking the adequacy of GARCH-typemodels in time series was proposed. The resulted tests involve weight functions, which provide them with the flexibility in choosing scores to enhance power performance. The choice of weight functions and the power properties of the tests are studied. For a large number of alternatives, asymptotically distribution-free maximin test is constructed. The tests are asymptotically chi-squared under the null hypothesis and easy to implement. Simulation results indicate that the tests perform well. |
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| Keywords: | GARCH-type models maximin test model diagnostic checking score type test |
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