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

Leucht, Anne ; Neumann, Michael H. ; Kreiss, Jens-Peter

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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 2013-14)
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.

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