Portmanteau test for the asymmetric power GARCH model when the power is unknown
Abstract It is now widely accepted that, to model the dynamics of daily financial returns, volatility models have to incorporate the so-called leverage effect. We derive the asymptotic behaviour of the squared residuals autocovariances for the class of asymmetric power GARCH model when the power is...
Ausführliche Beschreibung
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| Autor*in: |
Boubacar Maïnassara, Yacouba [verfasserIn] |
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| Format: |
Artikel |
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| Sprache: |
Englisch |
| Erschienen: |
2021 |
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| Schlagwörter: |
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| Anmerkung: |
© The Author(s), under exclusive licence to Springer-Verlag GmbH Germany, part of Springer Nature 2021 |
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| Übergeordnetes Werk: |
Enthalten in: Statistical papers - Springer Berlin Heidelberg, 1988, 63(2021), 3 vom: 30. Juli, Seite 755-793 |
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| Übergeordnetes Werk: |
volume:63 ; year:2021 ; number:3 ; day:30 ; month:07 ; pages:755-793 |
| Links: |
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| DOI / URN: |
10.1007/s00362-021-01257-w |
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OLC2078744433 |
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| 520 | |a Abstract It is now widely accepted that, to model the dynamics of daily financial returns, volatility models have to incorporate the so-called leverage effect. We derive the asymptotic behaviour of the squared residuals autocovariances for the class of asymmetric power GARCH model when the power is unknown and is jointly estimated with the model’s parameters. We then deduce a portmanteau adequacy test based on the autocovariances of the squared residuals. These asymptotic results are illustrated by Monte Carlo experiments. An application to real financial data is also proposed. | ||
| 650 | 4 | |a Asymmetric power GARCH models | |
| 650 | 4 | |a Goodness-of-fit test | |
| 650 | 4 | |a Portmanteau test | |
| 650 | 4 | |a Residuals autocovariances | |
| 650 | 4 | |a Threshold models | |
| 650 | 4 | |a Validation | |
| 700 | 1 | |a Kadmiri, Othman |4 aut | |
| 700 | 1 | |a Saussereau, Bruno |4 aut | |
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10.1007/s00362-021-01257-w doi (DE-627)OLC2078744433 (DE-He213)s00362-021-01257-w-p DE-627 ger DE-627 rakwb eng 300 330 510 VZ Boubacar Maïnassara, Yacouba verfasserin (orcid)0000-0002-8604-5407 aut Portmanteau test for the asymmetric power GARCH model when the power is unknown 2021 Text txt rdacontent ohne Hilfsmittel zu benutzen n rdamedia Band nc rdacarrier © The Author(s), under exclusive licence to Springer-Verlag GmbH Germany, part of Springer Nature 2021 Abstract It is now widely accepted that, to model the dynamics of daily financial returns, volatility models have to incorporate the so-called leverage effect. We derive the asymptotic behaviour of the squared residuals autocovariances for the class of asymmetric power GARCH model when the power is unknown and is jointly estimated with the model’s parameters. We then deduce a portmanteau adequacy test based on the autocovariances of the squared residuals. These asymptotic results are illustrated by Monte Carlo experiments. An application to real financial data is also proposed. Asymmetric power GARCH models Goodness-of-fit test Portmanteau test Residuals autocovariances Threshold models Validation Kadmiri, Othman aut Saussereau, Bruno aut Enthalten in Statistical papers Springer Berlin Heidelberg, 1988 63(2021), 3 vom: 30. Juli, Seite 755-793 (DE-627)129572292 (DE-600)227641-0 (DE-576)015069486 0932-5026 nnns volume:63 year:2021 number:3 day:30 month:07 pages:755-793 https://doi.org/10.1007/s00362-021-01257-w lizenzpflichtig Volltext GBV_USEFLAG_A SYSFLAG_A GBV_OLC SSG-OLC-MAT SSG-OLC-WIW SSG-OPC-MAT GBV_ILN_2018 GBV_ILN_4277 GBV_ILN_4326 AR 63 2021 3 30 07 755-793 |
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10.1007/s00362-021-01257-w doi (DE-627)OLC2078744433 (DE-He213)s00362-021-01257-w-p DE-627 ger DE-627 rakwb eng 300 330 510 VZ Boubacar Maïnassara, Yacouba verfasserin (orcid)0000-0002-8604-5407 aut Portmanteau test for the asymmetric power GARCH model when the power is unknown 2021 Text txt rdacontent ohne Hilfsmittel zu benutzen n rdamedia Band nc rdacarrier © The Author(s), under exclusive licence to Springer-Verlag GmbH Germany, part of Springer Nature 2021 Abstract It is now widely accepted that, to model the dynamics of daily financial returns, volatility models have to incorporate the so-called leverage effect. We derive the asymptotic behaviour of the squared residuals autocovariances for the class of asymmetric power GARCH model when the power is unknown and is jointly estimated with the model’s parameters. We then deduce a portmanteau adequacy test based on the autocovariances of the squared residuals. These asymptotic results are illustrated by Monte Carlo experiments. An application to real financial data is also proposed. Asymmetric power GARCH models Goodness-of-fit test Portmanteau test Residuals autocovariances Threshold models Validation Kadmiri, Othman aut Saussereau, Bruno aut Enthalten in Statistical papers Springer Berlin Heidelberg, 1988 63(2021), 3 vom: 30. Juli, Seite 755-793 (DE-627)129572292 (DE-600)227641-0 (DE-576)015069486 0932-5026 nnns volume:63 year:2021 number:3 day:30 month:07 pages:755-793 https://doi.org/10.1007/s00362-021-01257-w lizenzpflichtig Volltext GBV_USEFLAG_A SYSFLAG_A GBV_OLC SSG-OLC-MAT SSG-OLC-WIW SSG-OPC-MAT GBV_ILN_2018 GBV_ILN_4277 GBV_ILN_4326 AR 63 2021 3 30 07 755-793 |
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10.1007/s00362-021-01257-w doi (DE-627)OLC2078744433 (DE-He213)s00362-021-01257-w-p DE-627 ger DE-627 rakwb eng 300 330 510 VZ Boubacar Maïnassara, Yacouba verfasserin (orcid)0000-0002-8604-5407 aut Portmanteau test for the asymmetric power GARCH model when the power is unknown 2021 Text txt rdacontent ohne Hilfsmittel zu benutzen n rdamedia Band nc rdacarrier © The Author(s), under exclusive licence to Springer-Verlag GmbH Germany, part of Springer Nature 2021 Abstract It is now widely accepted that, to model the dynamics of daily financial returns, volatility models have to incorporate the so-called leverage effect. We derive the asymptotic behaviour of the squared residuals autocovariances for the class of asymmetric power GARCH model when the power is unknown and is jointly estimated with the model’s parameters. We then deduce a portmanteau adequacy test based on the autocovariances of the squared residuals. These asymptotic results are illustrated by Monte Carlo experiments. An application to real financial data is also proposed. Asymmetric power GARCH models Goodness-of-fit test Portmanteau test Residuals autocovariances Threshold models Validation Kadmiri, Othman aut Saussereau, Bruno aut Enthalten in Statistical papers Springer Berlin Heidelberg, 1988 63(2021), 3 vom: 30. Juli, Seite 755-793 (DE-627)129572292 (DE-600)227641-0 (DE-576)015069486 0932-5026 nnns volume:63 year:2021 number:3 day:30 month:07 pages:755-793 https://doi.org/10.1007/s00362-021-01257-w lizenzpflichtig Volltext GBV_USEFLAG_A SYSFLAG_A GBV_OLC SSG-OLC-MAT SSG-OLC-WIW SSG-OPC-MAT GBV_ILN_2018 GBV_ILN_4277 GBV_ILN_4326 AR 63 2021 3 30 07 755-793 |
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10.1007/s00362-021-01257-w doi (DE-627)OLC2078744433 (DE-He213)s00362-021-01257-w-p DE-627 ger DE-627 rakwb eng 300 330 510 VZ Boubacar Maïnassara, Yacouba verfasserin (orcid)0000-0002-8604-5407 aut Portmanteau test for the asymmetric power GARCH model when the power is unknown 2021 Text txt rdacontent ohne Hilfsmittel zu benutzen n rdamedia Band nc rdacarrier © The Author(s), under exclusive licence to Springer-Verlag GmbH Germany, part of Springer Nature 2021 Abstract It is now widely accepted that, to model the dynamics of daily financial returns, volatility models have to incorporate the so-called leverage effect. We derive the asymptotic behaviour of the squared residuals autocovariances for the class of asymmetric power GARCH model when the power is unknown and is jointly estimated with the model’s parameters. We then deduce a portmanteau adequacy test based on the autocovariances of the squared residuals. These asymptotic results are illustrated by Monte Carlo experiments. An application to real financial data is also proposed. Asymmetric power GARCH models Goodness-of-fit test Portmanteau test Residuals autocovariances Threshold models Validation Kadmiri, Othman aut Saussereau, Bruno aut Enthalten in Statistical papers Springer Berlin Heidelberg, 1988 63(2021), 3 vom: 30. Juli, Seite 755-793 (DE-627)129572292 (DE-600)227641-0 (DE-576)015069486 0932-5026 nnns volume:63 year:2021 number:3 day:30 month:07 pages:755-793 https://doi.org/10.1007/s00362-021-01257-w lizenzpflichtig Volltext GBV_USEFLAG_A SYSFLAG_A GBV_OLC SSG-OLC-MAT SSG-OLC-WIW SSG-OPC-MAT GBV_ILN_2018 GBV_ILN_4277 GBV_ILN_4326 AR 63 2021 3 30 07 755-793 |
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10.1007/s00362-021-01257-w doi (DE-627)OLC2078744433 (DE-He213)s00362-021-01257-w-p DE-627 ger DE-627 rakwb eng 300 330 510 VZ Boubacar Maïnassara, Yacouba verfasserin (orcid)0000-0002-8604-5407 aut Portmanteau test for the asymmetric power GARCH model when the power is unknown 2021 Text txt rdacontent ohne Hilfsmittel zu benutzen n rdamedia Band nc rdacarrier © The Author(s), under exclusive licence to Springer-Verlag GmbH Germany, part of Springer Nature 2021 Abstract It is now widely accepted that, to model the dynamics of daily financial returns, volatility models have to incorporate the so-called leverage effect. We derive the asymptotic behaviour of the squared residuals autocovariances for the class of asymmetric power GARCH model when the power is unknown and is jointly estimated with the model’s parameters. We then deduce a portmanteau adequacy test based on the autocovariances of the squared residuals. These asymptotic results are illustrated by Monte Carlo experiments. An application to real financial data is also proposed. Asymmetric power GARCH models Goodness-of-fit test Portmanteau test Residuals autocovariances Threshold models Validation Kadmiri, Othman aut Saussereau, Bruno aut Enthalten in Statistical papers Springer Berlin Heidelberg, 1988 63(2021), 3 vom: 30. Juli, Seite 755-793 (DE-627)129572292 (DE-600)227641-0 (DE-576)015069486 0932-5026 nnns volume:63 year:2021 number:3 day:30 month:07 pages:755-793 https://doi.org/10.1007/s00362-021-01257-w lizenzpflichtig Volltext GBV_USEFLAG_A SYSFLAG_A GBV_OLC SSG-OLC-MAT SSG-OLC-WIW SSG-OPC-MAT GBV_ILN_2018 GBV_ILN_4277 GBV_ILN_4326 AR 63 2021 3 30 07 755-793 |
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Portmanteau test for the asymmetric power GARCH model when the power is unknown |
| abstract |
Abstract It is now widely accepted that, to model the dynamics of daily financial returns, volatility models have to incorporate the so-called leverage effect. We derive the asymptotic behaviour of the squared residuals autocovariances for the class of asymmetric power GARCH model when the power is unknown and is jointly estimated with the model’s parameters. We then deduce a portmanteau adequacy test based on the autocovariances of the squared residuals. These asymptotic results are illustrated by Monte Carlo experiments. An application to real financial data is also proposed. © The Author(s), under exclusive licence to Springer-Verlag GmbH Germany, part of Springer Nature 2021 |
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Abstract It is now widely accepted that, to model the dynamics of daily financial returns, volatility models have to incorporate the so-called leverage effect. We derive the asymptotic behaviour of the squared residuals autocovariances for the class of asymmetric power GARCH model when the power is unknown and is jointly estimated with the model’s parameters. We then deduce a portmanteau adequacy test based on the autocovariances of the squared residuals. These asymptotic results are illustrated by Monte Carlo experiments. An application to real financial data is also proposed. © The Author(s), under exclusive licence to Springer-Verlag GmbH Germany, part of Springer Nature 2021 |
| abstract_unstemmed |
Abstract It is now widely accepted that, to model the dynamics of daily financial returns, volatility models have to incorporate the so-called leverage effect. We derive the asymptotic behaviour of the squared residuals autocovariances for the class of asymmetric power GARCH model when the power is unknown and is jointly estimated with the model’s parameters. We then deduce a portmanteau adequacy test based on the autocovariances of the squared residuals. These asymptotic results are illustrated by Monte Carlo experiments. An application to real financial data is also proposed. © The Author(s), under exclusive licence to Springer-Verlag GmbH Germany, part of Springer Nature 2021 |
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Portmanteau test for the asymmetric power GARCH model when the power is unknown |
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https://doi.org/10.1007/s00362-021-01257-w |
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| author2 |
Kadmiri, Othman Saussereau, Bruno |
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Kadmiri, Othman Saussereau, Bruno |
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129572292 |
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| doi_str |
10.1007/s00362-021-01257-w |
| up_date |
2024-07-03T21:55:24.956Z |
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1803596568941559808 |
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We derive the asymptotic behaviour of the squared residuals autocovariances for the class of asymmetric power GARCH model when the power is unknown and is jointly estimated with the model’s parameters. We then deduce a portmanteau adequacy test based on the autocovariances of the squared residuals. These asymptotic results are illustrated by Monte Carlo experiments. 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