| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1151002 | Statistical Methodology | 2015 | 9 Pages |
Abstract
In this paper, we apply the maximum entropy test designed for a goodness of fit in iid samples (cf. Lee et al. (2011)) to GARCH(1,1) models. Its approximate asymptotic distribution is derived under the null hypothesis. A bootstrap version of the test is also discussed and its performance is evaluated through Monte Carlo simulations. A real data analysis is conducted for illustration.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Jiyeon Lee, Sangyeol Lee, Siyun Park,