Nothing Special   »   [go: up one dir, main page]
Skip to main content
Springer Nature Link
Log in

Misspecification tests for periodic long memory GARCH models

  • Original Article
  • Published:
Statistical Methods and Applications Aims and scope Submit manuscript

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.

This is a preview of subscription content, log in via an institution to check access.

Access this article

Log in via an institution

Subscribe and save

Springer+ Basic
$34.99 /Month
  • Get 10 units per month
  • Download Article/Chapter or eBook
  • 1 Unit = 1 Article or 1 Chapter
  • Cancel anytime
Subscribe now

Buy Now

Price excludes VAT (USA)
Tax calculation will be finalised during checkout.

Instant access to the full article PDF.

Institutional subscriptions

Similar content being viewed by others

References

  • Andersen TG, Bollerslev T (1997) Intraday periodicity and volatility persistence in financial markets. J Emp Financ 4: 115–158

    Article  Google Scholar 

  • Baillie RT, Bollerslev T, Mikkelsen HO (1996) Fractionally integrated generalized autoregressive conditional heteroskedasticity. J Econom 74: 3–30

    Article  MATH  MathSciNet  Google Scholar 

  • Bollerslev T, Ghysel E (1996) Periodic autoregressive conditional heteroscedasticity. J Bus Econ Stat 14: 139–151

    Article  Google Scholar 

  • Bollerslev T, Hodrick RJ (1992) Financial market efficiency tests. In: Pesaran M, Wickins R (eds) The handbook of applied econometrics I, macroeconomics. North Holland, Amsterdam

    Google Scholar 

  • Bollerslev T, Mikkelsen HO (1996) Modeling and pricing long memory in stock market volatility. J Econom 73: 151–184

    Article  MATH  MathSciNet  Google Scholar 

  • Bordignon S, Caporin M, Lisi F (2007) Generalized long memory GARCH for intradaily volatility modelling. Comput Stat Data Anal 51: 5900–5912

    Article  MATH  MathSciNet  Google Scholar 

  • Bordignon S, Caporin M, Lisi F (2009) Periodic long memory GARCH models. Econom Rev 28: 60–82

    Article  MATH  Google Scholar 

  • Breidt FJ, Crato N, de Lima P (1998) The detection and estimation of long memory in stochastic volatility. J Econom 83: 325–348

    Article  MATH  Google Scholar 

  • Lombardi JM, Gallo GM (2002) Analytic Hessian matrices and the computation of FIGARCH estimates. Stat Methods Appl 11: 139–264

    Article  Google Scholar 

  • Woodard WA, Cheng QC, Gray H (1998) A k-factor GARMA long memory model. J Time Ser Anal 19: 485–504

    Article  MathSciNet  Google Scholar 

Download references

Author information

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
    View author publications

    You can also search for this author in PubMed Google Scholar

  2. Francesco Lisi
    View author publications

    You can also search for this author in PubMed Google Scholar

Corresponding author

Correspondence to Massimiliano Caporin.

Rights and permissions

Reprints and permissions

About this article

Cite this article

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

Download citation

  • Accepted:

  • Published:

  • Issue Date:

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

Keywords

Search

Navigation