[en] This paper proposes a convenient and generally applicable diagnostic m-test for checking the distributional specification of parametric conditional heteroscedasticity models for financial data such as the customary student-t GARCH Model. The proposed test is based on the moments of the probability integral transform of the estimated innovations of the assumed model. Monte-Carlo evidence indicates that our suggested test performs well both in terms of size and power.
Disciplines :
Quantitative methods in economics & management
Author, co-author :
Lejeune, Bernard ; Université de Liège - ULiège > HEC - École de gestion de l'ULiège > Economie politique et microéconomie appliquée
Language :
English
Title :
A diagnostic m-test for distributional specification of parametric conditional heteroscedasticity models for financial data
