TESTING THE ADEQUACY OF GARCH-TYPE MODELS IN TIME SERIES

被引：0
|
作者：
Wu Jianhong [1 ]
Zhu Lixing [2 ,3 ]
机构：
[1] Zhejiang Gongshang Univ, Coll Stat & Math, Hangzhou 310018, Peoples R China
[2] Hong Kong Baptist Univ, Dept Math, Hong Kong, Hong Kong, Peoples R China
[3] E China Normal Univ, Dept Stat, Shanghai 200062, Peoples R China
来源：
ACTA MATHEMATICA SCIENTIA | 2009年 / 29卷 / 02期
关键词：
GARCH-type models; maximin test; model diagnostic checking; score type test;
D O I：
暂无
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
摘要：
In this article a new approach for checking the adequacy of GARCH-type models 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 mill hypothesis and easy to implement. Simulation results indicate that the tests perform well.
引用
收藏
页码：327 / 340
页数：14
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