Misspecification tests for periodic long memory GARCH models

被引：1
|
作者：
Caporin, Massimiliano [1 ]
Lisi, Francesco [2 ]
机构：
[1] Univ Padua, Dept Econ Marco Fanno, I-35123 Padua, Italy
[2] Univ Padua, Dept Stat Sci, I-35121 Padua, Italy
来源：
STATISTICAL METHODS AND APPLICATIONS | 2010年 / 19卷 / 01期
关键词：
Long memory; Generalized long memory GARCH models; PLM-GARCH models; Misspecification tests; VOLATILITY;
D O I：
10.1007/s10260-009-0118-z
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
Distributional theory for Quasi-Maximum Likelihood estimators in long memory conditional heteroskedastic models is not formally defined, even asymptotically. Because of that, this paper analyses the real size and power of the likelihood ratio and the Lagrange multiplier misspecification tests when periodic long memory GARCH models are involved. The performance of these tests is studied by means of Monte Carlo simulations with respect to the class of generalized long memory GARCH models. For this class of models, analytical derivatives are developed. An application to the USD/JPY exchange rate is also provided.
引用
收藏
页码：47 / 62
页数：16
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