Goodness-of-fit tests for extended Log-GARCH models
Statistics Theory
2016-06-07 v2 Statistics Theory
Abstract
This paper studies goodness of fit tests and specification tests for an extension of the log-GARCH model which is stable by scaling. A Lagrange-Multiplier test is derived for testing the null assumption of extended log-GARCH against more general formulations including the Exponential GARCH (EGARCH). The null assumption of an EGARCH is also tested. Portmanteau goodness-of-fit tests are developed for the extended log-GARCH. Simulations illustrating the theoretical results and an application to real financial data are proposed.
Keywords
Cite
@article{arxiv.1601.05560,
title = {Goodness-of-fit tests for extended Log-GARCH models},
author = {Christian Francq and Olivier Wintenberger and Jean-Michel Zakoïan},
journal= {arXiv preprint arXiv:1601.05560},
year = {2016}
}