A model specification test for GARCH(1,1) processes

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URL:	https://ub-madoc.bib.uni-mannheim.de/35107
URN:	urn:nbn:de:bsz:180-madoc-351076
Document Type:	Working paper
Year of publication:	2013
The title of a journal, publication series:	Working Paper Series
Volume:	13-11
Place of publication:	Mannheim
Publication language:	English
Institution:	School of Law and Economics > VWL, Theoretische Ökonometrie u. Statistik (Juniorprofessur) (Leucht 2012-2014)
MADOC publication series:	Department of Economics > Working Paper Series
Subject:	330 Economics
Classification:	JEL: C12,
Keywords (English):	Bootstrap , Cramér-von Mises test , GARCH processes , V-statistic
Abstract:	We provide a consistent specification test for GARCH(1,1) models based on a test statistic of Cramér-von Mises type. Since 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 verify its asymptotic validity. Finally, we illuminate the finite sample behavior of the test by some simulations.