A Model Specification Test For GARCH(1,1) Processes |
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| Authors: | Anne Leucht Jens‐Peter Kreiss Michael H Neumann |
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| Institution: | 1. Institut für Mathematische StochastikTechnische Universit?t Braunschweig;2. Institut für MathematikFriedrich‐Schiller‐Universit?t Jena |
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| Abstract: | We provide a consistent specification test for generalized autoregressive conditional heteroscedastic (GARCH (1,1)) models based on a test statistic of Cramér‐von Mises type. Because the limit distribution of the test statistic under the null hypothesis depends on unknown quantities in a complicated manner, we propose a model‐based (semiparametric) bootstrap method to approximate critical values of the test and to verify its asymptotic validity. Finally, we illuminate the finite sample behaviour of the test by some simulations. |
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| Keywords: | bootstrap Cramé r‐von Mises test generalized autoregressive conditional heteroscedacity processes V‐statistic |
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