Misspecification tests for periodic long memory GARCH models
نویسندگان
چکیده
Distributional theory for Quasi-Maximum Likelihood estimators in long memory conditional heteroskedastic models is not formally defined, even asympotically. Because of that, this paper analyses the performance of the Likelihood Ratio and the Lagrange Multiplier misspecification tests for Periodic Long Memory GARCH models. The real size and power of these tests are studied by means of Monte Carlo simulations with respect to the class of Generalized Long Memory GARCH models. An application to the USD/JPY exchange rate is also provided.
منابع مشابه
Periodic Long Memory GARCH models
A distinguishing feature of the intra-day time-varying volatility of financial time series is given by the presence of long-range dependence of periodic type due mainly to time-of-the-day phenomena. In this work we introduce a model able to describe the empirical evidence given by this periodic longmemory behaviour. The model, named PLM-GARCH (Periodic Long Memory GARCH), represents a natural e...
متن کاملwww.econstor.eu Misspecification Testing in GARCH-MIDAS Models
We develop a misspecification test for the multiplicative two-component GARCHMIDAS model suggested in Engle et al. (2013). In the GARCH-MIDAS model a short-term unit variance GARCH component fluctuates around a smoothly timevarying long-term component which is driven by the dynamics of a macroeconomic explanatory variable. We suggest a Lagrange Multiplier statistic for testing the null hypothes...
متن کاملTesting for Causality in Variance using Multivariate GARCH Models
Tests of causality in variance in multiple time series have been proposed recently, based on residuals of estimated univariate models. Although such tests are applied frequently little is known about their power properties. In this paper we show that a convenient alternative to residual based testing is to specify a multivariate volatility model, such as multivariate GARCH (or BEKK), and constr...
متن کاملFrontiers in Time Series and Financial Econometrics: An Overview
Two of the fastest growing frontiers in econometrics and quantitative finance are time series and financial econometrics. Significant theoretical contributions to financial econometrics have been made by experts in statistics, econometrics, mathematics, and time series analysis. The purpose of this special issue of the journal on “Frontiers in Time Series and Financial Econometrics” is to highl...
متن کاملModeling Stock Market Volatility Using Univariate GARCH Models: Evidence from Bangladesh
This paper investigates the nature of volatility characteristics of stock returns in the Bangladesh stock markets employing daily all share price index return data of Dhaka Stock Exchange (DSE) and Chittagong Stock Exchange (CSE) from 02 January 1993 to 27 January 2013 and 01 January 2004 to 20 August 2015 respectively. Furthermore, the study explores the adequate volatility model for the stoc...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید
ثبت ناماگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید
ورودعنوان ژورنال:
- Statistical Methods and Applications
دوره 19 شماره
صفحات -
تاریخ انتشار 2010