Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/85622
Authors: 
Lundbergh, Stefan
Teräsvirta, Timo
Year of Publication: 
1999
Series/Report no.: 
Tinbergen Institute Discussion Paper 99-008/4
Abstract: 
This paper suggests a unified framework for testing the adequacy of anestimated GARCH model. Nothing more complicated than standard asymptotictheory is required. Parametric tests of no ARCH in standardized errors,symmetry, and parameter constancy are suggested. Estimating the alternativewhen the null hypothesis is rejected may give useful ideas of how to improvethe specification. It is also shown that the recent portmanteau test of Liand Mak (1994) is asymptotically equivalent to our test of no ARCH in thestandardized error process.
Document Type: 
Working Paper

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