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arXiv · 2404.12685

Portmanteau test for a class of multivariate asymmetric power GARCH model

Yacouba Boubacar Maïnassara·Othman Kadmiri·Bruno Saussereau
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Abstract

We establish the asymptotic behaviour of the sum of squared residuals autocovariances and autocorrelations for the class of multi-variate power transformed asymmetric models. We then derive a portmanteau test. We establish the asymptotic distribution of the proposed statistics. These asymptotic results are illustrated by Monte Carlo experiments. An application to a bivariate real financial data is also proposed.

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Yacouba Boubacar Maïnassara, Othman Kadmiri, Bruno Saussereau. 2024-04-19. Portmanteau test for a class of multivariate asymmetric power GARCH model. https://doi.org/10.1111/jtsa.12646

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