Please use this identifier to cite or link to this item: http://hdl.handle.net/1783.1/6219

Mixed portmanteau test for ARMA-GARCH models

Authors Sze, Mei Ki
Issue Date 2009
Summary The ARMA-GARCH model has been commonly used in economics and finance. The portmanteau test based on residual autocorrelations is one of the most frequently used tools for checking the adequacy of the fitted model. In this thesis, we study a mixed portmanteau statistic based on the joint limiting distribution of the residuals and squared residuals. It is shown that this statistic is approximately equal to the sum of well-known statistics under some specific cases. The performance of the new test and two well-known tests are compared in the finite sample through simulations.
Note Thesis (M.Phil.)--Hong Kong University of Science and Technology, 2009
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Language English
Format Thesis
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