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arXiv · 1601.05560

Goodness-of-fit tests for extended Log-GARCH models

Christian Francq·Olivier Wintenberger·Jean-Michel Zakoïan
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Abstract

This paper studies goodness of fit tests and specification tests for an extension of the log-GARCH model which is stable by scaling. A Lagrange-Multiplier test is derived for testing the null assumption of extended log-GARCH against more general formulations including the Exponential GARCH (EGARCH). The null assumption of an EGARCH is also tested. Portmanteau goodness-of-fit tests are developed for the extended log-GARCH. Simulations illustrating the theoretical results and an application to real financial data are proposed.

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Christian Francq, Olivier Wintenberger, Jean-Michel Zakoïan. 2016-01-21. Goodness-of-fit tests for extended Log-GARCH models. https://arxiv.org/abs/1601.05560

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