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Misspecification tests for periodic long memory GARCH models

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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 analyses the real size and power of the likelihood ratio and the Lagrange multiplier misspecification tests when periodic long memory GARCH models are involved. The performance of these tests is studied by means of Monte Carlo simulations with respect to the class of generalized long memory GARCH models. For this class of models, analytical derivatives are developed. An application to the USD/JPY exchange rate is also provided.

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Authors and Affiliations

  1. Department of Economics “Marco Fanno”, University of Padua, via del Santo, 22, 35123, Padua, Italy

    Massimiliano Caporin

  2. Department of Statistical Sciences, University of Padua, via C. Battisti 241, 35121, Padua, Italy

    Francesco Lisi

Authors
  1. Massimiliano Caporin
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  2. Francesco Lisi
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Correspondence to Massimiliano Caporin.

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Caporin, M., Lisi, F. Misspecification tests for periodic long memory GARCH models. Stat Methods Appl 19, 47–62 (2010). https://doi.org/10.1007/s10260-009-0118-z

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  • DOI: https://doi.org/10.1007/s10260-009-0118-z

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