Department of Economics and Business Economics

Timo Teräsvirta

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

Research output: Working paperResearch

Standard

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

Aarhus : Institut for Økonomi, Aarhus Universitet, 2014.

Research output: Working paperResearch

Harvard

APA

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

CBE

MLA

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.

Vancouver

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.

Author

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).

Bibtex

@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",
type = "WorkingPaper",
institution = "Institut for {\O}konomi, Aarhus Universitet",

}

RIS

TY - UNPB

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 -