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A DIAGNOSTIC M-TEST FOR DISTRIBUTIONAL SPECIFICATION OF PARAMETRIC CONDITIONAL HETEROSCEDASTICITY MODELS FOR FINANCIAL DATA
Category: Econometrics
FINANCIAL ECONOMETRICS II Sunday 25th August 2002, 14:30 - 16:00, Room: 4.1
Session Chair(s):
Renee Fry, Queensland University of Technology, AUSTRALIA
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Abstract:
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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 innovations of the assumed model. Monte-Carlo evidence indicates that our suggested test performs well both in terms of size and power.
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Find this file in the \Papers\292\ folder of this CD-ROM.
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