Portmanteau Test for ARCH-Type Models by Using High-Frequency Data

被引：0

作者：

Chen, Yanshan ^{[1
,3
]}

Zhang, Xingfa ^{[1
]}

Deng, Chunliang ^{[2
]}

Liu, Yujiao ^{[1
]}

机构：

[1] Guangzhou Univ, Sch Econ & Stat, Guangzhou 510006, Peoples R China

[2] Jiaying Univ, Sch Math, Meizhou 514015, Peoples R China

[3] Guangzhou Univ, Guangdong Higher Educ Mega Ctr, Univ City Campus,230 Waihuan Xi Rd, Guangzhou 510006, Peoples R China

来源：

AXIOMS | 2024年 / 13卷 / 03期

关键词：

portmanteau test; high-frequency data; ARCH; QMLE; statistic; CONDITIONAL HETEROSCEDASTICITY; GARCH;

D O I：

10.3390/axioms13030141

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

The portmanteau test is an effective tool for testing the goodness of fit of models. Motivated by the fact that high-frequency data can improve the estimation accuracy of models, a modified portmanteau test using high-frequency data is proposed for ARCH-type models in this paper. Simulation results show that the empirical size and power of the modified test statistics of the model using high-frequency data are better than those of the daily model. Three stock indices (CSI 300, SSE 50, CSI 500) are taken as an example to illustrate the practical application of the test.

引用

页数：20

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