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Article Dans Une Revue Annals of Economics and Statistics Année : 2016

Tests of the Constancy of Conditional Correlations of Unknown Functional Form in Multivariate GARCH Models

Résumé

We introduce two tests for the constancy of conditional correlations of unknown functional form in multivariate GARCH models. The first test is based on artificial neural networks and the second on a Taylor expansion of each unknown conditional correlation. They can be seen as general misspecification tests for a large set of multivariate GARCH-type models. We investigate their size and their power through Monte Carlo experiments. Moreover, we study the robustness of these tests to nonnormality by simulating some models, such as the GARCH − t and Beta − t − EGARCH . We give some illustrative empirical examples based on financial data.
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Dates et versions

hal-04218472 , version 1 (27-09-2023)

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Anne Peguin-Feissolle, Bilel Sanhaji. Tests of the Constancy of Conditional Correlations of Unknown Functional Form in Multivariate GARCH Models. Annals of Economics and Statistics, 2016, 123/124, pp.77. ⟨10.15609/annaeconstat2009.123-124.0077⟩. ⟨hal-04218472⟩
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