Misspecification Tests for Periodic Long Memory GARCH Models

19 Pages Posted: 6 Aug 2008

See all articles by Massimiliano Caporin

Massimiliano Caporin

University of Padua - Department of Statistical Sciences

Francesco Lisi

University of Padua - Department of Statistical Sciences

Date Written: December 1, 2007

Abstract

Distributional theory for Quasi-Maximum Likelihood estimators in long memory conditional heteroskedastic models is not formally defined, even asymptotically. Because of that, this paper analyzes the performance of the Likelihood Ratio and the Lagrange Multiplier misspecification tests for Periodic Long Memory GARCH models. The real size and power of these tests are studied by means of Monte Carlo simulations with respect to the class of Generalized Long Memory GARCH models. An application to the USD/JPY exchange rate is also provided.

Keywords: Long Memory, Generalized Long Memory GARCH models, PLM- GARCH models, misspecification tests

Suggested Citation

Caporin, Massimiliano and Lisi, Francesco, Misspecification Tests for Periodic Long Memory GARCH Models (December 1, 2007). Available at SSRN: https://ssrn.com/abstract=1173362 or http://dx.doi.org/10.2139/ssrn.1173362

Massimiliano Caporin (Contact Author)

University of Padua - Department of Statistical Sciences ( email )

Via Battisti, 241
Padova, 35121
Italy

Francesco Lisi

University of Padua - Department of Statistical Sciences ( email )

V. Cesare Battisti, 241
Padova, 35122
Italy
+39 049 8274182 (Phone)
+39 049 8274170 (Fax)

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