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Goodness-of-fit tests for extended Log-GARCH models

Abstract : This paper studies goodness of fit tests and specification tests for an extension of the log-GARCH model which is stable by scaling. A Lagrange-Multiplier test is derived for testing the null assumption of extended log-GARCH against more general formulations including the Exponential GARCH (EGARCH). The null assumption of an EGARCH is also tested. Portmanteau goodness-of-fit tests are developed for the extended log-GARCH. Simulations illustrating the theoretical results and an application to real financial data are proposed.
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Contributor : Olivier Wintenberger <>
Submitted on : Monday, June 6, 2016 - 11:21:26 AM
Last modification on : Wednesday, June 12, 2019 - 3:30:03 PM


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  • HAL Id : hal-01258922, version 2
  • ARXIV : 1601.05560


Christian Francq, Olivier Wintenberger, Jean-Michel Zakoïan. Goodness-of-fit tests for extended Log-GARCH models. 2016. ⟨hal-01258922v2⟩



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