Evaluating GARCH models

被引：79

作者：

Lundbergh, S ^{[1
]}

Teräsvirta, T ^{[1
]}

机构：

[1] Stockholm Sch Econ, Dept Econ Stat, SE-11383 Stockholm, Sweden

来源：

JOURNAL OF ECONOMETRICS | 2002年 / 110卷 / 02期

关键词：

conditional heteroskedasticity; model misspecification test; nonlinear time series; parameter constancy; smooth transition GARCH;

D O I：

10.1016/S0304-4076(02)00096-9

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

In this paper, a unified framework for testing the adequacy of an estimated GARCH model is presented. Parametric Lagrange multiplier (LM) or LM type tests of no ARCH in standardized errors, linearity, and parameter constancy are proposed. The asymptotic null distributions of the tests are standard, which makes application easy. Versions of the tests that are robust against normormal errors are provided. The finite sample properties of the test statistics are investigated by simulation. The robust tests prove superior to the nonrobust ones when the errors are nonnormal. They also compare favourably in terms of power with misspecification tests previously proposed in the literature. (C) 2002 Elsevier Science B.V. All rights reserved.

引用

页码：417 / 435

页数：19

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