Journal
COMPUTATIONAL STATISTICS & DATA ANALYSIS
Volume 76, Issue -, Pages 291-300Publisher
ELSEVIER SCIENCE BV
DOI: 10.1016/j.csda.2013.03.009
Keywords
Goodness of fit tests; GARCH models; Residuals; Squared residuals; Empirical processes; Pseudo-observations; Multipliers; Bootstrap
Funding
- Natural Sciences and Engineering Research Council of Canada
- Fonds quebecois de la recherche sur la nature et les technologies
- National Research Foundation of the United Arab Emirates
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Specification procedures for testing the null hypothesis of a Gaussian distribution for the innovations of GARCH models are compared using simulations. More precisely, Cramer-von Mises and Kolmogorov Smirnov type statistics are computed for empirical processes based on the standardized residuals and their squares. For calculating P-values, the parametric bootstrap method and the multipliers method are used. In addition, the Khmaladze transform is also applied to obtain an approximate Brownian motion under the null hypothesis, for which Cramer von Mises and Kolmogorov-Smirnov type statistics are computed, using both the standardized residuals and their squares. (C) 2013 Elsevier B.V. All rights reserved.
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