Chapter

Multivariate Autocontours for Specification Testing in Multivariate GARCH Models*

González‐Rivera Gloria and Emre Yoldas

in Volatility and Time Series Econometrics

Published in print March 2010 | ISBN: 9780199549498
Published online May 2010 | e-ISBN: 9780191720567 | DOI: http://dx.doi.org/10.1093/acprof:oso/9780199549498.003.0011

Series: Advanced Texts in Econometrics

 Multivariate Autocontours for Specification Testing in Multivariate GARCH Models*

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This chapter develops a new set of specification tests for multivariate dynamic models based on the concept of autocontours. The chapter is organized as follows. Section 2 describes the battery of tests and the construction of the multivariate contours and autocontours. Section 3 offers some Monte Carlo simulation to assess the size and power of the tests in finite samples. Section 4 applies the tests to the generalized residuals of GARCH models with hypothesized normal and multivariate Student-t innovations fitted to excess returns on five size portfolios; Section 5 concludes.

Keywords: multivariate dynamic models; specification tests; Monte Carlo simulation; GARCH models

Chapter.  7893 words.  Illustrated.

Subjects: Econometrics and Mathematical Economics

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