Comparison of specification tests for GARCH models

Specification procedures for testing the null hypothesis of a Gaussian distribution for the innovations of GARCH models are compared using simulations. More precisely, Cramér–von Mises and Kolmogorov–Smirnov type statistics are computed for empirical processes based on the standardized residuals and...

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Veröffentlicht in:	Computational statistics & data analysis 2014-08, Vol.76, p.291-300
Hauptverfasser:	Ghoudi, Kilani, Rémillard, Bruno
Format:	Artikel
Sprache:	eng
Schlagworte:	Approximation Bootstrap Brownian motion Computation Data processing Empirical processes GARCH models Goodness of fit tests Mathematical models Multipliers Null hypothesis Pseudo-observations Residuals Specifications Squared residuals Statistics
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