Goodness-of-fit tests for Log-GARCH and EGARCH models

• Christian Francq ^[1] ; Olivier Wintenberger ^[2] ; Jean-Michel Zakoïan ^[1]
  1. [1] University of Lille
  2. [2] Universities of Paris 6
• Localización: Test: An Official Journal of the Spanish Society of Statistics and Operations Research, ISSN-e 1863-8260, ISSN 1133-0686, Vol. 27, Nº. 1, 2018 (Ejemplar dedicado a: Special issue on goodness of fit (GOF)), págs. 27-51
• Idioma: inglés
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• Resumen

  • This paper studies goodness-of-fit tests and specification tests for an extension of the Log-GARCH model, which is both asymmetric and stable by scaling. A Lagrange-multiplier test is derived for testing the extended Log-GARCH against more general formulations taking the form of combinations of Log-GARCH and exponential GARCH (EGARCH). The null assumption of an EGARCH is also tested. Portmanteau goodness-of-fit tests are developed for the extended Log-GARCH. An application to real financial data is proposed.