A diagnostic m-test for distributional specification of parametric conditional heteroscedasticity models for financial data
(2002)
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- Abstract
- This paper proposes a convenient and generally applicable diognostic m-test for checking the distributional specification of parametric conditional heteroscedasticity models for financial data such as customary student t GARCH model. The proposed test is based on the moments of probability integral transform of the innovations of the assumed model. Monte-carlo evidence indicates that our suggested test performs well both in terms of size and power.
- Affiliations
Citations
Lejeune, B. (2002). A diagnostic m-test for distributional specification of parametric conditional heteroscedasticity models for financial data (CORE Discussion Papers 2002/24). https://hdl.handle.net/2078.5/128349