Portmanteau Goodness-of-Fit Test for Asymmetric Power GARCH Models
The asymptotic distribution of a vector of autocorrelations of squared residuals is derived for a wide class of asymmetric GARCH models. Portmanteau adequacy tests are deduced. These results are obtained under moment assumptions on the iid process, but fat tails are allowed for the observed process,...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Austrian Statistical Society
2016-02-01
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| Series: | Austrian Journal of Statistics |
| Online Access: | http://www.ajs.or.at/index.php/ajs/article/view/197 |