Arbeitspapier
Misspecification Testing in GARCH-MIDAS Models
We develop a misspecification test for the multiplicative two-component GARCH-MIDAS model suggested in Engle et al. (2013). In the GARCH-MIDAS model a short-term unit variance GARCH component fluctuates around a smoothly time-varying long-term component which is driven by the dynamics of an explanatory variable. We suggest a Lagrange Multiplier statistic for testing the null hypothesis that the variable has no explanatory power. Hence, under the null hypothesis the long-term component is constant and the GARCH-MIDAS reduces to the simple GARCH model. We derive the asymptotic theory for our test statistic and investigate its finite sample properties by Monte-Carlo simulation. The usefulness of our procedure is illustrated by an empirical application to S&P 500 return data.
- Sprache
-
Englisch
- Erschienen in
-
Series: Discussion Paper Series ; No. 597
- Klassifikation
-
Wirtschaft
- Thema
-
Volatility Component Models
LM test
Long-term Volatility
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Conrad, Christian
Schienle, Melanie
- Ereignis
-
Veröffentlichung
- (wer)
-
University of Heidelberg, Department of Economics
- (wo)
-
Heidelberg
- (wann)
-
2015
- DOI
-
doi:10.11588/heidok.00019006
- Handle
- URN
-
urn:nbn:de:bsz:16-heidok-190061
- Letzte Aktualisierung
-
10.03.2025, 11:45 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Conrad, Christian
- Schienle, Melanie
- University of Heidelberg, Department of Economics
Entstanden
- 2015
Ähnliche Objekte (12)
Misspecification Testing in GARCH-MIDAS Models
Misspecification Testing in GARCH-MIDAS Models
A reality check on the GARCH-MIDAS volatility models
Testing for identification in SVAR-GARCH models
Testing for Causality in Variance using Multivariate GARCH Models
Artificial regression testing in the GARCH-in-mean model
Multivariate GARCH models
Evaluating GARCH Models
Testing for an omitted multiplicative long-term component in GARCH models
Evaluating exponential GARCH models
Outlier Detection in GARCH Models
Bootstrapping GARCH models under dependent innovations
Misspecification Testing in GARCH-MIDAS Models
Misspecification Testing in GARCH-MIDAS Models
A reality check on the GARCH-MIDAS volatility models
Testing for identification in SVAR-GARCH models
Testing for Causality in Variance using Multivariate GARCH Models
Artificial regression testing in the GARCH-in-mean model
Multivariate GARCH models
Evaluating GARCH Models
Testing for an omitted multiplicative long-term component in GARCH models
Evaluating exponential GARCH models
Outlier Detection in GARCH Models
Bootstrapping GARCH models under dependent innovations
Misspecification Testing in GARCH-MIDAS Models
Misspecification Testing in GARCH-MIDAS Models
A reality check on the GARCH-MIDAS volatility models
Testing for identification in SVAR-GARCH models
Testing for Causality in Variance using Multivariate GARCH Models
Artificial regression testing in the GARCH-in-mean model
Multivariate GARCH models
Evaluating GARCH Models
Testing for an omitted multiplicative long-term component in GARCH models
Evaluating exponential GARCH models
Outlier Detection in GARCH Models