In this article a new approach for checking the adequacy of GARCH-type models in time series was proposed. The resulted tests involve weight functions, which provide them with the flexibility in choosing scores to enh...In this article a new approach for checking the adequacy of GARCH-type models in time series was proposed. The resulted tests involve weight functions, which provide them with the flexibility in choosing scores to enhance power performance. The choice of weight functions and the power properties of the tests are studied. For a large number of alternatives, asymptotically distribution-free maximin test is constructed. The tests are asymptotically chi-squared under the null hypothesis and easy to implement. Simulation results indicate that the tests perform well.展开更多
基金supported by a grant from the Research Grants Council of Hong Kong.Jianhong Wu was also supported by a grant from Humanities & Social Sciences in Chinese University (07JJD790154)the Youth Talent Foundation of Zhejiang GongShang University (Q09-12)
文摘In this article a new approach for checking the adequacy of GARCH-type models in time series was proposed. The resulted tests involve weight functions, which provide them with the flexibility in choosing scores to enhance power performance. The choice of weight functions and the power properties of the tests are studied. For a large number of alternatives, asymptotically distribution-free maximin test is constructed. The tests are asymptotically chi-squared under the null hypothesis and easy to implement. Simulation results indicate that the tests perform well.
