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

Autor:	Yanshan Chen, Xingfa Zhang, Chunliang Deng, Yujiao Liu
Jazyk:	angličtina
Rok vydání:	2024
Předmět:	portmanteau test high-frequency data ARCH QMLE statistic Mathematics QA1-939
Zdroj:	Axioms, Vol 13, Iss 3, p 141 (2024)
Druh dokumentu:	article
ISSN:	2075-1680
DOI:	10.3390/axioms13030141
Popis:	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.
Databáze:	Directory of Open Access Journals
Externí odkaz:	https://doaj.org/article/20df03a564c84022bc1dec38015421fc Zobrazit plný text záznamu View record in DOAJ Plný text ve formátu PDF Plný text ve formátu HTML
Nepřihlášeným uživatelům se plný text nezobrazuje	K zobrazení výsledku je třeba se přihlásit.