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Journal Articles Test Year : 2018

Goodness-of-fit tests for log and exponential GARCH models

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.
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Dates and versions

hal-01258922 , version 1 (19-01-2016)
hal-01258922 , version 2 (06-06-2016)

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Christian Francq, Olivier Wintenberger, Jean-Michel Zakoïan. Goodness-of-fit tests for log and exponential GARCH models. Test, 2018, 27 (1), pp.27-51. ⟨10.1007/s11749-016-0506-2⟩. ⟨hal-01258922v2⟩
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