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Research output: Working paper

**A Lagrange Multiplier Test for Testing the Adequacy of the Constant Conditional Correlation GARCH Model.** / Catani, Paul; Teräsvirta, Timo; Yin, Meiqun.

Research output: Working paper

Catani, P, Teräsvirta, T & Yin, M 2014 'A Lagrange Multiplier Test for Testing the Adequacy of the Constant Conditional Correlation GARCH Model' Institut for Økonomi, Aarhus Universitet, Aarhus.

Catani, P., Teräsvirta, T., & Yin, M. (2014). *A Lagrange Multiplier Test for Testing the Adequacy of the Constant Conditional Correlation GARCH Model*. Aarhus: Institut for Økonomi, Aarhus Universitet. CREATES Research Papers, No. 2014-03

Catani P, Teräsvirta T, Yin M. 2014. A Lagrange Multiplier Test for Testing the Adequacy of the Constant Conditional Correlation GARCH Model. Aarhus: Institut for Økonomi, Aarhus Universitet.

Catani, Paul, Timo Teräsvirta and Meiqun Yin *A Lagrange Multiplier Test for Testing the Adequacy of the Constant Conditional Correlation GARCH Model*. Aarhus: Institut for Økonomi, Aarhus Universitet. (CREATES Research Papers; Journal number 2014-03). 2014., 24 p.

Catani P, Teräsvirta T, Yin M. A Lagrange Multiplier Test for Testing the Adequacy of the Constant Conditional Correlation GARCH Model. Aarhus: Institut for Økonomi, Aarhus Universitet. 2014 Feb 3.

Catani, Paul ; Teräsvirta, Timo ; Yin, Meiqun. / **A Lagrange Multiplier Test for Testing the Adequacy of the Constant Conditional Correlation GARCH Model**. Aarhus : Institut for Økonomi, Aarhus Universitet, 2014. (CREATES Research Papers; No. 2014-03).

@techreport{e4eb8e8a9f53433489966139aac5492d,

title = "A Lagrange Multiplier Test for Testing the Adequacy of the Constant Conditional Correlation GARCH Model",

abstract = "A Lagrange multiplier test for testing the parametric structure of a constant conditional correlation generalized autoregressive conditional heteroskedasticity (CCC-GARCH) model is proposed. The test is based on decomposing the CCC-GARCH model multiplicatively into two components, one of which represents the null model, whereas the other one describes the misspeci…cation. A simulation study shows that the test has good …nite sample properties. We compare the test with other tests for misspeci…cation of multivariate GARCH models. The test has high power against alternatives where the misspeci…cation is in the GARCH parameters and is superior to other tests. The test is not greatly affected by misspeci…cation in the conditional correlations and is therefore well suited for considering misspeci…cation of GARCH equations.",

keywords = "constant conditional correlation, LM test, misspeci
cation testing, modelling volatility, multivariate GARCH",

author = "Paul Catani and Timo Ter\{"a}svirta and Meiqun Yin",

year = "2014",

month = "2",

day = "3",

language = "English",

publisher = "Institut for \{O}konomi, Aarhus Universitet",

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T1 - A Lagrange Multiplier Test for Testing the Adequacy of the Constant Conditional Correlation GARCH Model

AU - Catani,Paul

AU - Teräsvirta,Timo

AU - Yin,Meiqun

PY - 2014/2/3

Y1 - 2014/2/3

N2 - A Lagrange multiplier test for testing the parametric structure of a constant conditional correlation generalized autoregressive conditional heteroskedasticity (CCC-GARCH) model is proposed. The test is based on decomposing the CCC-GARCH model multiplicatively into two components, one of which represents the null model, whereas the other one describes the misspeci…cation. A simulation study shows that the test has good …nite sample properties. We compare the test with other tests for misspeci…cation of multivariate GARCH models. The test has high power against alternatives where the misspeci…cation is in the GARCH parameters and is superior to other tests. The test is not greatly affected by misspeci…cation in the conditional correlations and is therefore well suited for considering misspeci…cation of GARCH equations.

AB - A Lagrange multiplier test for testing the parametric structure of a constant conditional correlation generalized autoregressive conditional heteroskedasticity (CCC-GARCH) model is proposed. The test is based on decomposing the CCC-GARCH model multiplicatively into two components, one of which represents the null model, whereas the other one describes the misspeci…cation. A simulation study shows that the test has good …nite sample properties. We compare the test with other tests for misspeci…cation of multivariate GARCH models. The test has high power against alternatives where the misspeci…cation is in the GARCH parameters and is superior to other tests. The test is not greatly affected by misspeci…cation in the conditional correlations and is therefore well suited for considering misspeci…cation of GARCH equations.

KW - constant conditional correlation, LM test, misspeci cation testing, modelling volatility, multivariate GARCH

M3 - Working paper

BT - A Lagrange Multiplier Test for Testing the Adequacy of the Constant Conditional Correlation GARCH Model

PB - Institut for Økonomi, Aarhus Universitet

CY - Aarhus

ER -