Portmanteau Test for ARCH-Type Models by Using High-Frequency Data

The portmanteau test is an effective tool for testing the goodness of fit of models. Motivated by the fact that high-frequency data can improve the estimation accuracy of models, a modified portmanteau test using high-frequency data is proposed for ARCH-type models in this paper. Simulation results...
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Autor*in:	Yanshan Chen [verfasserIn] Xingfa Zhang [verfasserIn] Chunliang Deng [verfasserIn] Yujiao Liu [verfasserIn]

Format:	E-Artikel
Sprache:	Englisch

Erschienen:	2024

Schlagwörter:	portmanteau test high-frequency data ARCH QMLE statistic

Übergeordnetes Werk:	In: Axioms - MDPI AG, 2012, 13(2024), 3, p 141
Übergeordnetes Werk:	volume:13 ; year:2024 ; number:3, p 141

Links:	Link aufrufen Link aufrufen Link aufrufen Journal toc

DOI / URN:	10.3390/axioms13030141

Katalog-ID:	DOAJ100873669

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spelling	10.3390/axioms13030141 doi (DE-627)DOAJ100873669 (DE-599)DOAJ20df03a564c84022bc1dec38015421fc DE-627 ger DE-627 rakwb eng QA1-939 Yanshan Chen verfasserin aut Portmanteau Test for ARCH-Type Models by Using High-Frequency Data 2024 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier The portmanteau test is an effective tool for testing the goodness of fit of models. Motivated by the fact that high-frequency data can improve the estimation accuracy of models, a modified portmanteau test using high-frequency data is proposed for ARCH-type models in this paper. Simulation results show that the empirical size and power of the modified test statistics of the model using high-frequency data are better than those of the daily model. Three stock indices (CSI 300, SSE 50, CSI 500) are taken as an example to illustrate the practical application of the test. portmanteau test high-frequency data ARCH QMLE statistic Mathematics Xingfa Zhang verfasserin aut Chunliang Deng verfasserin aut Yujiao Liu verfasserin aut In Axioms MDPI AG, 2012 13(2024), 3, p 141 (DE-627)718622030 (DE-600)2661511-3 20751680 nnns volume:13 year:2024 number:3, p 141 https://doi.org/10.3390/axioms13030141 kostenfrei https://doaj.org/article/20df03a564c84022bc1dec38015421fc kostenfrei https://www.mdpi.com/2075-1680/13/3/141 kostenfrei https://doaj.org/toc/2075-1680 Journal toc kostenfrei GBV_USEFLAG_A SYSFLAG_A GBV_DOAJ GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_95 GBV_ILN_105 GBV_ILN_110 GBV_ILN_151 GBV_ILN_161 GBV_ILN_170 GBV_ILN_206 GBV_ILN_213 GBV_ILN_230 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_702 GBV_ILN_2001 GBV_ILN_2003 GBV_ILN_2005 GBV_ILN_2006 GBV_ILN_2008 GBV_ILN_2009 GBV_ILN_2010 GBV_ILN_2011 GBV_ILN_2014 GBV_ILN_2015 GBV_ILN_2020 GBV_ILN_2021 GBV_ILN_2025 GBV_ILN_2031 GBV_ILN_2044 GBV_ILN_2048 GBV_ILN_2050 GBV_ILN_2055 GBV_ILN_2056 GBV_ILN_2057 GBV_ILN_2061 GBV_ILN_2111 GBV_ILN_2190 GBV_ILN_4012 GBV_ILN_4037 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4249 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4335 GBV_ILN_4338 GBV_ILN_4367 GBV_ILN_4700 AR 13 2024 3, p 141
allfields_unstemmed	10.3390/axioms13030141 doi (DE-627)DOAJ100873669 (DE-599)DOAJ20df03a564c84022bc1dec38015421fc DE-627 ger DE-627 rakwb eng QA1-939 Yanshan Chen verfasserin aut Portmanteau Test for ARCH-Type Models by Using High-Frequency Data 2024 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier The portmanteau test is an effective tool for testing the goodness of fit of models. Motivated by the fact that high-frequency data can improve the estimation accuracy of models, a modified portmanteau test using high-frequency data is proposed for ARCH-type models in this paper. Simulation results show that the empirical size and power of the modified test statistics of the model using high-frequency data are better than those of the daily model. Three stock indices (CSI 300, SSE 50, CSI 500) are taken as an example to illustrate the practical application of the test. portmanteau test high-frequency data ARCH QMLE statistic Mathematics Xingfa Zhang verfasserin aut Chunliang Deng verfasserin aut Yujiao Liu verfasserin aut In Axioms MDPI AG, 2012 13(2024), 3, p 141 (DE-627)718622030 (DE-600)2661511-3 20751680 nnns volume:13 year:2024 number:3, p 141 https://doi.org/10.3390/axioms13030141 kostenfrei https://doaj.org/article/20df03a564c84022bc1dec38015421fc kostenfrei https://www.mdpi.com/2075-1680/13/3/141 kostenfrei https://doaj.org/toc/2075-1680 Journal toc kostenfrei GBV_USEFLAG_A SYSFLAG_A GBV_DOAJ GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_95 GBV_ILN_105 GBV_ILN_110 GBV_ILN_151 GBV_ILN_161 GBV_ILN_170 GBV_ILN_206 GBV_ILN_213 GBV_ILN_230 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_702 GBV_ILN_2001 GBV_ILN_2003 GBV_ILN_2005 GBV_ILN_2006 GBV_ILN_2008 GBV_ILN_2009 GBV_ILN_2010 GBV_ILN_2011 GBV_ILN_2014 GBV_ILN_2015 GBV_ILN_2020 GBV_ILN_2021 GBV_ILN_2025 GBV_ILN_2031 GBV_ILN_2044 GBV_ILN_2048 GBV_ILN_2050 GBV_ILN_2055 GBV_ILN_2056 GBV_ILN_2057 GBV_ILN_2061 GBV_ILN_2111 GBV_ILN_2190 GBV_ILN_4012 GBV_ILN_4037 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4249 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4335 GBV_ILN_4338 GBV_ILN_4367 GBV_ILN_4700 AR 13 2024 3, p 141
allfieldsGer	10.3390/axioms13030141 doi (DE-627)DOAJ100873669 (DE-599)DOAJ20df03a564c84022bc1dec38015421fc DE-627 ger DE-627 rakwb eng QA1-939 Yanshan Chen verfasserin aut Portmanteau Test for ARCH-Type Models by Using High-Frequency Data 2024 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier The portmanteau test is an effective tool for testing the goodness of fit of models. Motivated by the fact that high-frequency data can improve the estimation accuracy of models, a modified portmanteau test using high-frequency data is proposed for ARCH-type models in this paper. Simulation results show that the empirical size and power of the modified test statistics of the model using high-frequency data are better than those of the daily model. Three stock indices (CSI 300, SSE 50, CSI 500) are taken as an example to illustrate the practical application of the test. portmanteau test high-frequency data ARCH QMLE statistic Mathematics Xingfa Zhang verfasserin aut Chunliang Deng verfasserin aut Yujiao Liu verfasserin aut In Axioms MDPI AG, 2012 13(2024), 3, p 141 (DE-627)718622030 (DE-600)2661511-3 20751680 nnns volume:13 year:2024 number:3, p 141 https://doi.org/10.3390/axioms13030141 kostenfrei https://doaj.org/article/20df03a564c84022bc1dec38015421fc kostenfrei https://www.mdpi.com/2075-1680/13/3/141 kostenfrei https://doaj.org/toc/2075-1680 Journal toc kostenfrei GBV_USEFLAG_A SYSFLAG_A GBV_DOAJ GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_95 GBV_ILN_105 GBV_ILN_110 GBV_ILN_151 GBV_ILN_161 GBV_ILN_170 GBV_ILN_206 GBV_ILN_213 GBV_ILN_230 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_702 GBV_ILN_2001 GBV_ILN_2003 GBV_ILN_2005 GBV_ILN_2006 GBV_ILN_2008 GBV_ILN_2009 GBV_ILN_2010 GBV_ILN_2011 GBV_ILN_2014 GBV_ILN_2015 GBV_ILN_2020 GBV_ILN_2021 GBV_ILN_2025 GBV_ILN_2031 GBV_ILN_2044 GBV_ILN_2048 GBV_ILN_2050 GBV_ILN_2055 GBV_ILN_2056 GBV_ILN_2057 GBV_ILN_2061 GBV_ILN_2111 GBV_ILN_2190 GBV_ILN_4012 GBV_ILN_4037 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4249 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4335 GBV_ILN_4338 GBV_ILN_4367 GBV_ILN_4700 AR 13 2024 3, p 141
allfieldsSound	10.3390/axioms13030141 doi (DE-627)DOAJ100873669 (DE-599)DOAJ20df03a564c84022bc1dec38015421fc DE-627 ger DE-627 rakwb eng QA1-939 Yanshan Chen verfasserin aut Portmanteau Test for ARCH-Type Models by Using High-Frequency Data 2024 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier The portmanteau test is an effective tool for testing the goodness of fit of models. Motivated by the fact that high-frequency data can improve the estimation accuracy of models, a modified portmanteau test using high-frequency data is proposed for ARCH-type models in this paper. Simulation results show that the empirical size and power of the modified test statistics of the model using high-frequency data are better than those of the daily model. Three stock indices (CSI 300, SSE 50, CSI 500) are taken as an example to illustrate the practical application of the test. portmanteau test high-frequency data ARCH QMLE statistic Mathematics Xingfa Zhang verfasserin aut Chunliang Deng verfasserin aut Yujiao Liu verfasserin aut In Axioms MDPI AG, 2012 13(2024), 3, p 141 (DE-627)718622030 (DE-600)2661511-3 20751680 nnns volume:13 year:2024 number:3, p 141 https://doi.org/10.3390/axioms13030141 kostenfrei https://doaj.org/article/20df03a564c84022bc1dec38015421fc kostenfrei https://www.mdpi.com/2075-1680/13/3/141 kostenfrei https://doaj.org/toc/2075-1680 Journal toc kostenfrei GBV_USEFLAG_A SYSFLAG_A GBV_DOAJ GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_95 GBV_ILN_105 GBV_ILN_110 GBV_ILN_151 GBV_ILN_161 GBV_ILN_170 GBV_ILN_206 GBV_ILN_213 GBV_ILN_230 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_702 GBV_ILN_2001 GBV_ILN_2003 GBV_ILN_2005 GBV_ILN_2006 GBV_ILN_2008 GBV_ILN_2009 GBV_ILN_2010 GBV_ILN_2011 GBV_ILN_2014 GBV_ILN_2015 GBV_ILN_2020 GBV_ILN_2021 GBV_ILN_2025 GBV_ILN_2031 GBV_ILN_2044 GBV_ILN_2048 GBV_ILN_2050 GBV_ILN_2055 GBV_ILN_2056 GBV_ILN_2057 GBV_ILN_2061 GBV_ILN_2111 GBV_ILN_2190 GBV_ILN_4012 GBV_ILN_4037 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4249 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4335 GBV_ILN_4338 GBV_ILN_4367 GBV_ILN_4700 AR 13 2024 3, p 141
language	English
source	In Axioms 13(2024), 3, p 141 volume:13 year:2024 number:3, p 141
sourceStr	In Axioms 13(2024), 3, p 141 volume:13 year:2024 number:3, p 141
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topic_facet	portmanteau test high-frequency data ARCH QMLE statistic Mathematics
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authorswithroles_txt_mv	Yanshan Chen @@aut@@ Xingfa Zhang @@aut@@ Chunliang Deng @@aut@@ Yujiao Liu @@aut@@
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author	Yanshan Chen
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topic_title	QA1-939 Portmanteau Test for ARCH-Type Models by Using High-Frequency Data portmanteau test high-frequency data ARCH QMLE statistic
topic	misc QA1-939 misc portmanteau test misc high-frequency data misc ARCH misc QMLE misc statistic misc Mathematics
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title	Portmanteau Test for ARCH-Type Models by Using High-Frequency Data
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title_sort	portmanteau test for arch-type models by using high-frequency data
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title_auth	Portmanteau Test for ARCH-Type Models by Using High-Frequency Data
abstract	The portmanteau test is an effective tool for testing the goodness of fit of models. Motivated by the fact that high-frequency data can improve the estimation accuracy of models, a modified portmanteau test using high-frequency data is proposed for ARCH-type models in this paper. Simulation results show that the empirical size and power of the modified test statistics of the model using high-frequency data are better than those of the daily model. Three stock indices (CSI 300, SSE 50, CSI 500) are taken as an example to illustrate the practical application of the test.
abstractGer	The portmanteau test is an effective tool for testing the goodness of fit of models. Motivated by the fact that high-frequency data can improve the estimation accuracy of models, a modified portmanteau test using high-frequency data is proposed for ARCH-type models in this paper. Simulation results show that the empirical size and power of the modified test statistics of the model using high-frequency data are better than those of the daily model. Three stock indices (CSI 300, SSE 50, CSI 500) are taken as an example to illustrate the practical application of the test.
abstract_unstemmed	The portmanteau test is an effective tool for testing the goodness of fit of models. Motivated by the fact that high-frequency data can improve the estimation accuracy of models, a modified portmanteau test using high-frequency data is proposed for ARCH-type models in this paper. Simulation results show that the empirical size and power of the modified test statistics of the model using high-frequency data are better than those of the daily model. Three stock indices (CSI 300, SSE 50, CSI 500) are taken as an example to illustrate the practical application of the test.
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title_short	Portmanteau Test for ARCH-Type Models by Using High-Frequency Data
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Portmanteau Test for ARCH-Type Models by Using High-Frequency Data

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