Portmanteau Test for ARCH-Type Models by Using High-Frequency Data-Reference-Cited by-同舟云学术

Portmanteau Test for ARCH-Type Models by Using High-Frequency Data

Published:2024-02-22 Issue:3 Volume:13 Page:141
ISSN:2075-1680
Container-title:Axioms
language:en
Short-container-title:Axioms

Author:

Chen Yanshan¹^ORCID,Zhang Xingfa¹,Deng Chunliang²,Liu Yujiao¹

Affiliation:

1. School of Economics and Statistics, Guangzhou University, Guangzhou 510006, China

2. School of Mathematics, Jiaying University, Meizhou 514015, China

Abstract

The portmanteau test is an effective tool for testing the goodness of fit of models. Motivated by the fact that high-frequency data can improve the estimation accuracy of models, a modified portmanteau test using high-frequency data is proposed for ARCH-type models in this paper. Simulation results show that the empirical size and power of the modified test statistics of the model using high-frequency data are better than those of the daily model. Three stock indices (CSI 300, SSE 50, CSI 500) are taken as an example to illustrate the practical application of the test.

Funder

Guangdong Basic and Applied Basic Research Foundation

Science and Technology Projects in Guangzhou

Youth Joint Project of Department of Science and Technology in Guangdong Province of China

Publisher

MDPI AG

Link

https://www.mdpi.com/2075-1680/13/3/141/pdf

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